N-CSRS 1 l04058anvcsrs.txt BARR ROSENBERG SERIES TRUST N-CSRS/9-30-03 -------------------------------------------------------------------------------- OMB APPROVAL OMB Number: 3235-0570 Expires: November 30, 2005 Estimated average burden hours per response. . . 5.0 -------------------------------------------------------------------------------- UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM N-CSR CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES Investment Company Act file number 811-05547 ---------------------------------------------- Barr Rosenberg Series Trust -------------------------------------------------------------------------------- (Exact name of registrant as specified in charter) 3435 Stelzer Road, Columbus, OH 43219-8006 -------------------------------------------------------------------------------- (Address of principal executive offices) (Zip code) BISYS Fund Services, 3435 Stelzer Road, Columbus, OH 43219-8006 -------------------------------------------------------------------------------- (Name and address of agent for service) Registrant's telephone number, including area code: 614-470-8000 ----------------------------- Date of fiscal year end: March 31, 2004 ---------------------------------------- Date of reporting period: September 30, 2003 ------------------------------------------ Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles. A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget ("OMB") control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. ss. 3507. ITEM 1. REPORTS TO STOCKHOLDERS. Include a copy of the report transmitted to stockholders pursuant to Rule 30e-1 under the Act (17 CFR 270.30e-1). SEMI ANNUAL REPORT SEPTEMBER 30, 2003 AXA ROSENBERG U.S. EQUITY FUNDS AXA Rosenberg U.S. Small Capitalization Fund AXA Rosenberg U.S. Discovery Fund AXA Rosenberg U.S. Large Capitalization Fund AXA Rosenberg Enhanced 500 Fund AXA ROSENBERG INTERNATIONAL EQUITY FUNDS AXA Rosenberg International Equity Fund AXA Rosenberg International Small Capitalization Fund AXA Rosenberg European Fund AXA ROSENBERG LONG/SHORT EQUITY FUNDS AXA Rosenberg U.S. Large/Mid Capitalization Long/Short Equity Fund AXA Rosenberg Value Long/Short Equity Fund AXA Rosenberg Global Long/Short Equity Fund [ROSENBERG LOGO] QUESTIONS? CALL SHAREHOLDER SERVICES AT 800.555.5737 FOR INVESTOR AND ADVISER SHARES CALL 800.447.3332 OR VISIT WWW.AXAROSENBERG.COM Each of the Funds is a series of Barr Rosenberg Series Trust, which is an open-end management investment company offering diversified portfolios with different investment objectives and strategies. The Funds' investment adviser is AXA Rosenberg Investment Management LLC. TABLE OF CONTENTS A Letter from Our President................................. 1 AXA Rosenberg U.S. Small Capitalization Fund................ 2 AXA Rosenberg U.S. Discovery Fund........................... 4 AXA Rosenberg U.S. Large Capitalization Fund................ 6 AXA Rosenberg Enhanced 500 Fund............................. 8 AXA Rosenberg International Equity Fund..................... 10 AXA Rosenberg International Small Capitalization Fund....... 12 AXA Rosenberg European Fund................................. 14 AXA Rosenberg U.S. Large/Mid Capitalization Long/Short Equity Fund.............................................. 15 AXA Rosenberg Value Long/Short Equity Fund.................. 17 AXA Rosenberg Global Long/Short Equity Fund................. 19 Schedules of Portfolio Investments ......................... 21 Statements of Assets and Liabilities ....................... 98 Statements of Operations ................................... 100 Statements of Changes in Net Assets ........................ 102 Financial Highlights ....................................... 110 Notes to Financial Statements .............................. 120
NOTICE ABOUT DUPLICATE MAILINGS In order to reduce expenses of the AXA Rosenberg Mutual Funds incurred in connection with the mailing of prospectuses, prospectus supplements, semi-annual reports and annual reports to multiple shareholders at the same address, AXA Rosenberg Mutual Funds may in the future deliver one copy of a prospectus, prospectus supplement, semi-annual report or annual report to a single investor sharing a street address or post office box with other investors, provided that all such investors have the same last name or are believed to be members of the same family. This process, called "householding," will continue indefinitely unless you instruct us otherwise. If you share an address with another investor and wish to receive your own prospectus, prospectus supplements, semi-annual reports and annual reports, please call the Trust toll-free at (800) 555-5737. [ROSENBERG LOGO] September 2003 Dear Fellow Shareholder, KEEPING YOU INFORMED We are pleased to provide you with this AXA Rosenberg Mutual Funds(1) semiannual report for the six-month period ended September 30, 2003. On the following pages, you'll find a discussion of each Fund, including performance highlights, portfolio details and our strategic outlook. UPDATE ON THE FIRM We recently reached $1 billion in mutual fund assets under management, and we are delighted that you are a part of our growing family. The rise in assets is attributable mainly to continued interest in our alternative long/short products--which are designed to improve returns and help manage risk(2)--and in the small-cap arena, where we have a traditional small-cap fund as well as a small/mid-cap and an international small-cap offering. AXA ROSENBERG'S U.S. SMALL CAP FUND: NO SMALL ACHIEVEMENT As illustrated on page 2, the AXA Rosenberg U.S. Small Capitalization Fund (our flagship product) has successfully achieved its objective--to outperform the Russell 2000 Index by investing in U.S. small-cap stocks--over the long term.(3) The Fund has also enjoyed significant asset growth since its inception and, in fact, has recently crossed the $1 billion mark. For the Fund to continue in its effort to capitalize on exciting prospects in the small-cap arena, we have closed it to new investors. Additional contributions from current shareholders will continue to be accepted. OUR POWER TO HELP YOU BUILD A BETTER PORTFOLIO IS IN OUR PROCESS The Fund discussions that follow cover the tumultuous nature of the recent market environment. We believe it is important to point out that during such periods of economic uncertainty, diversification is more critical than ever to a well-constructed portfolio. We believe AXA Rosenberg's unique product lineup is well positioned to identify potential earnings advantages in companies here in the United States and in far-reaching parts of the globe. If you would like to gain additional exposure to stocks throughout the world via a systematic and disciplined investment approach, please review the Fund discussions to see how our other Funds may fit into your investment strategy. If you have questions, call 800.555.5737, and we will be happy to assist you. Thank you for the trust you have placed in AXA Rosenberg Mutual Funds. We look forward to serving you for many years into the future. Sincerely, /s/ Edward H. Lyman Edward H. Lyman President, AXA Rosenberg Mutual Funds (1) Each of the AXA Rosenberg Mutual Funds is a series of Barr Rosenberg Series Trust, which is an open-end management investment company. (2) There is no assurance that the investment objective will continue to be achieved. Investments in long/short funds are more volatile and risky than some other forms of investments. Because it has both long and short portfolios, an investment in such a fund involves risk 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. (3) Past performance is no guarantee of future results. There are risks associated with investing in small-cap companies, which tend to be more volatile and less liquid than stocks of large companies, including increased risk of price fluctuations. Investment return and principal value may fluctuate, so shares, when redeemed, may be worth more or less than their original cost. Turn to page 2 to see the Fund's standardized performance results. 1 AXA ROSENBERG U.S. SMALL CAPITALIZATION FUND -------------------------------------------------------------------------------- PERFORMANCE -- AVERAGE ANNUAL TOTAL RETURNS AS OF SEPTEMBER 30, 2003
SINCE SINCE SINCE LAST LAST LAST LAST INCEPTION INCEPTION INCEPTION 1 YEAR 3 YEARS 5 YEARS 10 YEARS (2/22/89) (1/21/97) (10/22/96) ------ ------- ------- -------- --------- --------- ---------- Institutional Shares (USCIX)....... 25.19% 9.23% 11.22% 14.09% 13.54% -- -- Adviser Shares (LIFUX)............. 24.82% 8.97% 10.97% -- -- 9.66% -- Investor Shares (BRSCX)............ 24.78% 8.91% 10.92% -- -- -- 10.82% Russell 2000 Index(1).............. 36.50% -0.82% 7.46% 8.28% 9.81% 5.40% 6.49%
Past performance is not indicative of future results. The table above does not reflect the deduction of taxes that a Shareholder would pay on Fund distributions and redemption of Fund shares. MARKET REVIEW The U.S. equity market rallied strongly during the six month period ending September 2003, with the Russell 2000 Index(1) rising 34.62%. After the toppling of Saddam Hussein in Iraq, investors seemed to turn their attention to a slowly emerging economic recovery. Despite mixed economic and corporate earnings signals and continued hostilities and uncertainty in Iraq, investors pushed up equity returns for six consecutive months until a modest sell-off in September. The September weakness came as a result of increasing concerns about overvaluation among the leading stocks as the broad-based economic recovery that is underway is likely to be only moderately strong in the near-term. Over the past six months, small-cap and growth stocks were the market leaders, reflecting investors' expectations for continued strengthening in the economy. For the period, the Russell 2000 Index was up 34.62% compared with an 18.45% gain for the S&P 500 Index(2). The surge in small-cap stocks has been fueled by strong gains in the technology sector. In fact thus far in 2003, small-cap technology stocks have increased over 50%. After six consecutive monthly gains in the Russell 2000 Index, the index declined in September 2003. The sell-off in the market in September was in part a reaction to how far these expensive technology stocks have risen in the last year with no improvement in realized earnings. The earnings expectations that are built into the current prices for these leading stocks are substantial. PERFORMANCE REVIEW From the standard performance attribution point of view, the Fund's underperformance for the six month period ending September 2003 was almost entirely the result of risk exposures. The independent effect of stock selection and industry exposures had a more modest negative impact on performance overall. Among risk factors, the portfolio's tendency to hold stocks with strong trailing price performance (relative strength) and its below market beta(3) continued to hurt performance the most. In the past six months, the high beta, low quality and low momentum stocks have dominated the market despite little improvement in their fundamentals. Industry exposures had a negative impact on performance during the past six months. The continued underweight in IT hardware had the largest negative impact on performance as a result of the strength in the technology stocks, especially within the semiconductor hardware sector. This was only partly offset by the positive impact of an overweight position in the construction and homebuilding sector which continued to benefit from the still strong housing market. The effect of stock selection was negative over the six month period, as the benefit of holding Avid Technology and Airtran Holdings was more than offset by the cost of holding Imation, Cognizant Technology Solutions and avoiding Sandisk. For much of the past year and especially during the last six months, the market leadership has been with a group of high beta, low quality stocks that our models find overpriced relative to their likely future earnings. As a result the performance of the Fund has trailed the benchmark; however, the earnings of the companies we have held in our portfolios have been superior to the companies in the benchmark. Looking back at the portfolio from a year ago, both the realized earnings and earnings growth relative to price have been higher than the benchmark. We believe that building portfolios with this earnings advantage may ultimately lead to outperformance of the benchmark, although there is no 2 guarantee this investment objective will be achieved. Sometimes this long-term philosophy requires patience during periods when investors pay too much for the likely future earnings and near-term earnings growth of companies. One reminder of this came during September when investors appeared to be reassessing the high valuations of the leading stocks. As a result, our relative performance improved as companies with more attractively priced fundamentals and earnings prospects were rewarded. We cannot predict exactly when this "refocus" on earnings will return to the market, but we believe that ultimately it could. Total returns for the Institutional Shares represents the historical performance for the Rosenberg Series Trust Small Capitalization Fund, which was launched in February 1989, until it was converted to the Barr Rosenberg U.S. Small Capitalization Fund on August 5, 1996. The minimum investment for Institutional Shares is $1 million. The minimum investment for the Adviser Shares is $100,000. The minimum investment for Investor Shares is $2,500. PERFORMANCE DATA REPRESENTS PAST PERFORMANCE WHICH DOES NOT GUARANTEE FUTURE RESULTS. Investment return and principal value may increase or decrease depending upon market conditions so that an investor's shares, when redeemed, may be worth more or less than their original cost. Total return includes change in share price and reinvestment of distributions. Total return set forth 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. 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. Portfolio holdings are subject to change and may not represent current or future holdings. Investors cannot invest directly in any Index. AXA Rosenberg Mutual Funds are distributed by Barr Rosenberg Funds Distributor, Inc. --------------- (1) The Russell 2000(R) Index measures the performance of the 2,000 smallest companies in the Russell 3000(R) Index, and represents approximately 8% of the total market capitalization of the Russell 3000(R) Index. (2) The Standard & Poor's 500 (S&P 500) Index is an unmanaged index measuring large-cap U.S. stock market performance, and includes a representative sample of leading companies in leading industries. (3) Beta is the systematic risk coefficient that expresses the expected response of asset or portfolio excess return to excess return on a market portfolio, e.g. a beta of 1.5 implies that 1.5 times the excess return on the market can be expected. 3 AXA ROSENBERG U.S. DISCOVERY FUND -------------------------------------------------------------------------------- PERFORMANCE -- AVERAGE ANNUAL TOTAL RETURNS AS OF SEPTEMBER 30, 2003
SINCE SINCE LAST INCEPTION INCEPTION 1 YEAR (9/4/01) (10/3/01) ------ --------- --------- Institutional Shares (RDISX)................................ 27.93% 10.10% -- Investor Shares (RDIVX)..................................... 27.50% -- 13.74% Class A Shares (RDVAX)(1)................................... 27.19% 9.48% -- Class A Shares*(1).......................................... 20.21% 6.55% -- Class B Shares (RDVBX)(1)................................... 26.62% 8.93% -- Class B Shares**(1)......................................... 21.62% 7.16% -- Russell 2500 Index(2)....................................... 35.59% 4.45% 10.80%
Past performance is not indicative of future results. The table above does not reflect the deduction of taxes that a Shareholder would pay on Fund distributions and redemption of Fund shares. MARKET REVIEW The U.S. equity market rallied strongly during the six month period ending September 2003, with the Russell 2500 Index(2) rising 32.58%. After the toppling of Saddam Hussein in Iraq, investors seemed to turn their attention to a slowly emerging economic recovery. Despite mixed economic and corporate earnings signals and continued hostilities and uncertainty in Iraq, investors pushed up equity returns for six consecutive months until a modest sell-off in September. The September weakness came as the result of increasing concerns about overvaluation among the leading stocks as the broad-based economic recovery that is certainly underway is likely to be only moderately strong in the near-term. Over the past six months, small-cap and growth stocks were the market leaders, reflecting investor's expectations for continued strengthening in the economy. For the period, the Russell 2500 Index was up 32.58% compared with an 18.45% gain for the S&P 500 Index(3). The surge in small-cap stocks has been fueled by strong gains in the technology sector. In fact thus far in 2003, mid- and small-cap technology stocks have increased over 50%. After six consecutive monthly gains in the Russell 2500 Index, the index declined in September 2003. The sell-off in the market in September was in part a reaction to how far these expensive technology stocks have risen in the last year with no improvement in realized earnings. The earnings expectations that are built into the current prices for these leading stocks are substantial. PERFORMANCE REVIEW From the standard performance attribution point of view, the Fund's underperformance for the six month period ending September 2003 was almost entirely the result of risk exposures. The independent effect of stock selection was modestly positive. Industry exposures had a slight negative impact on performance overall. Among risk factors, the portfolio's tendency to hold stocks with strong trailing price performance (relative strength)(4) and its below market beta(5) continued to hurt performance the most. In the past six months, the high beta, low quality and low momentum stocks have dominated the market despite little improvement in their fundamentals. Industry exposures had a small negative impact on performance during the past six months. The continued underweight in IT hardware had the largest negative impact on performance as a result of the strength in technology stocks, especially within the semiconductor hardware sector. This was only partly offset by the positive impact of an overweight position in the construction and homebuilding sector which continued to benefit from the still strong housing market. The effect of stock selection was positive over the six month period, as the benefit of holding Invitrogen, Frontline and Avid Technology was only partly offset by the cost of holding Steris, Edwards Lifesciences and Deluxe. For much of the past year and especially during the last six months, the market leadership has been with a group of high beta, low quality stocks that our models find overpriced relative to their likely future earnings. As a result, the performance of the Fund has trailed the benchmark; however, the earnings of the companies we have held in our portfolios have been superior to the companies in the benchmark. Looking back at the portfolio from a year ago, both the realized earnings and earnings growth relative to price have been higher than the benchmark. We believe that building portfolios with this earnings advantage may ultimately lead to outperformance of the benchmark, although there is no 4 guarantee this investment objective will be achieved. Sometimes this long-term philosophy requires patience during periods when investors pay too much for the likely future earnings and near-term earnings growth of companies. One reminder of this came during September when investors appeared to be reassessing the high valuations of the leading stocks. As a result, our relative performance improved as companies with more attractively priced fundamentals and earnings prospects were rewarded. We cannot predict exactly when this "refocus" on earnings will return to the market, but we believe that ultimately it could. The minimum investment of the Institutional Shares is $1 million. The minimum investment of the Investor Shares is $2,500. The minimum investment into Class A Shares or Class B Shares is $1,000. PERFORMANCE DATA REPRESENTS PAST PERFORMANCE WHICH DOES NOT GUARANTEE FUTURE RESULTS. Investment return and principal value may increase or decrease depending upon market conditions so that an investor's shares, when redeemed, may be worth more or less than their original cost. Total return includes changes 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. 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. Portfolio holdings are subject to change and may not represent current or future holdings. Investors cannot invest directly in any Index. 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. (3) The Standard & Poor's 500 (S&P 500) Index is an unmanaged index measuring large-cap U.S. Stock Market performance, and includes a representative sample of leading companies in leading industries. (4) Relative Strength is the rate at which a stock falls relative to other stocks in a falling market or rises relative to other stocks in a rising market. (5) Beta is the systematic risk coefficient that expresses the expected response of asset or portfolio excess return to excess return on a market portfolio, e.g. a beta of 1.5 implies that 1.5 times the excess return on the market can be expected. 5 AXA ROSENBERG U.S. LARGE CAPITALIZATION FUND -------------------------------------------------------------------------------- PERFORMANCE -- AVERAGE ANNUAL TOTAL RETURNS AS OF SEPTEMBER 30, 2003
SINCE SINCE LAST INCEPTION INCEPTION 1 YEAR (6/19/02) (7/31/02) ------ --------- --------- Institutional Shares (AXLIX)................................ 17.26% -3.38% -- Investor Shares (AXLVX)..................................... 16.93% -- 6.24% Class A Shares (AXLAX)...................................... 16.80% -3.77% -- Class A Shares*............................................. 10.44% -7.91% -- Class B Shares (AXLBX)...................................... 16.18% -4.26% -- Class B Shares**............................................ 11.18% -7.26% -- Russell 1000 Index(1)....................................... 25.14% -0.67% 12.29%
Past performance is not indicative of future results. The table above does not reflect the deduction of taxes that a Shareholder would pay on Fund distributions and redemption of Fund shares. MARKET REVIEW The U.S. equity market rallied strongly during the six month period ending September 2003, with the Russell 1000 Index(1) rising 19.21%. After the toppling of Saddam Hussein in Iraq, investors seemed to turn their attention to a slowly emerging economic recovery. Despite mixed economic and corporate earnings signals and continued hostilities and uncertainty in Iraq, investors pushed up equity returns for six consecutive months until a modest sell-off in September. The September weakness came as the result of increasing concerns about overvaluation among the leading stocks as the broad-based economic recovery that is underway is likely to be only moderately strong in the near-term. Over the past six months, small-cap and growth stocks were the market leaders, reflecting investors' expectations for continued strengthening in the economy. For the period, the Russell 1000 Index was up 19.21% compared with an 18.45% gain for the S&P 500 Index(2). The surge in small-cap stocks has been fueled by strong gains in the technology sector. In fact thus far in 2003, small-cap technology stocks have increased over 50%. After six consecutive monthly gains in the Russell 1000 Index, the index declined in September 2003. The sell-off in the market in September was in part a reaction to how far these expensive technology stocks have risen in the last year with no improvement in realized earnings. The earnings expectations that are built into the current prices for these leading stocks are substantial. PERFORMANCE REVIEW From the standard performance attribution point of view, the Fund's underperformance for the six month period ending September 2003 was almost entirely the result of risk exposures. The independent effect of stock selection and Industry exposures had a more modest negative impact on performance overall. Among risk factors, the portfolio's tendency to hold stocks with strong trailing price performance (relative strength)(3) and its below market beta(4) continued to hurt performance the most. In the past six months, the high beta, low quality and low momentum stocks have dominated the market despite little improvement in their fundamentals. Industry exposures had a negative impact on performance during the past six months. The continued underweight in IT hardware had the largest negative impact on performance as a result of the strength in the technology stocks, especially within the semiconductor hardware sector. This was only partly offset by the positive impact of an overweight position in the construction and homebuilding sector which continued to benefit from the still strong housing market. The effect of stock selection was negative over the six month period, as the benefit of holding Boston Scientific and Hewlett Packard was more than offset by the cost of holding Fannie Mae, Merck and avoiding ExxonMobil and Verizon. For much of the past year and especially during the last six months, the market leadership has been with a group of high beta, low quality stocks that our models find overpriced relative to their likely future earnings. As a result the performance of the Fund has trailed the benchmark; however, the earnings of the companies we have held in our portfolios have been superior to the companies in the benchmark. Looking back at the portfolio from a year ago, both the 6 realized earnings and earnings growth relative to price have been higher than the benchmark. We believe that building portfolios with this earnings advantage may ultimately lead to outperformance of the benchmark, although there is no guarantee this investment objective will be achieved. Sometimes this long-term philosophy requires patience during periods when investors pay too much for the likely future earnings and near-term earnings growth of companies. One reminder of this came during September when investors appeared to be reassessing the high valuations of the leading stocks. As a result, our relative performance improved as companies with more attractively priced fundamentals and earnings prospects were rewarded. We cannot predict exactly when this "refocus" on earnings will return to the market, but we believe that ultimately it could. The minimum investment for Institutional Shares is $1 million. The minimum investment for Investor Shares is $2,500. The minimum investment into Class A Shares or Class B Shares is $1,000. PERFORMANCE DATA REPRESENTS PAST PERFORMANCE, WHICH DOES NOT GUARANTEE FUTURE RESULTS. Investment return and principal value may increase or decrease depending upon market conditions so that an investor's shares, when redeemed, may be worth more or less than their original cost. Total return includes change in share price and reinvestment of distributions. Total return set forth 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. Investors cannot invest directly in any Index. 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) The Russell 1000(R) Index measures the performance of the 1,000 largest companies in the Russell 3000(R) Index, and represents approximately 92% of the total market capitalization of the Russell 3000(R) Index. (2) The Standard & Poor's 500 (S&P 500) Index is an unmanaged index measuring large-cap U.S. stock market performance, and includes a representative sample of leading companies in leading industries. (3) Relative Strength is the rate which a stock falls relative to other stocks in a falling market or rises relative to other stocks in a rising market. (4) Beta is the systematic risk coefficient that expresses the expected response of asset or portfolio excess return to excess return on a market portfolio, e.g. a beta of 1.5 implies that 1.5 times the excess return on the market can be expected. 7 AXA ROSENBERG ENHANCED 500 FUND -------------------------------------------------------------------------------- PERFORMANCE -- AVERAGE ANNUAL TOTAL RETURNS AS OF SEPTEMBER 30, 2003
SINCE SINCE LAST LAST INCEPTION INCEPTION 1 YEAR 3 YEARS (6/7/00) (8/15/03) ------ ------- --------- --------- Institutional Shares (REDIX)................................ 19.64% -10.14% -9.94% -- Investor Shares (REFIX)..................................... -- -- -- 0.43% Class A Shares (RENAX)(1)................................... 19.14% -10.61% -10.42% -- Class A Shares*............................................. 15.56% -11.51% -11.24% -- Class B Shares (RENBX)(1)................................... 18.53% -11.06% -10.87% -- Class B Shares**(1)......................................... 13.53% -12.24% -11.68% -- S&P 500 Index(2)............................................ 24.40% -10.13% -9.52% 0.75%
Past performance is not indicative of future results. The table above does not reflect the deduction of taxes that a Shareholder would pay on Fund distributions and redemption of Fund shares. MARKET REVIEW The U.S. equity market rallied strongly during the six month period ending September 2003, with the S&P 500 Index(2) rising 18.45%. After the toppling of Saddam Hussein in Iraq, investors seemed to turn their attention to a slowly emerging economic recovery. Despite mixed economic and corporate earnings signals and continued hostilities and uncertainty in Iraq, investors pushed up equity returns for six consecutive months until a modest sell-off in September. The September weakness came as the result of increasing concerns about overvaluation among the leading stocks as the broad-based economic recovery that is certainly underway is likely to be only moderately strong in the near-term. Over the past six months, small-cap and growth stocks were the market leaders, reflecting investors' expectations for continued strengthening in the economy. For the period, the Russell 2000 Index(3) was up 34.62% compared with an 18.45% gain for the S&P 500 Index. The surge in small-cap stocks has been fueled by strong gains in the technology sector. In fact thus far in 2003, small-cap technology stocks have increased over 50%. After six consecutive monthly gains in the S&P 500 Index, the index declined in September 2003. The sell-off in the market in September was in part a reaction to how far these expensive technology stocks have risen in the last year with no improvement in realized earnings. The earnings expectations that are built into the current prices for these leading stocks are substantial. PERFORMANCE REVIEW From the standard performance attribution point of view, the portfolio's underperformance for the six month period ending September 2003 was the result of risk exposures and the independent impact of stock selection. Industry exposures had a modest positive impact on performance overall. Among risk factors, the portfolio's tendency to hold stocks with strong trailing price performance (relative strength)(4) and its slightly below market beta(5) continued to hurt performance the most. In the past six months, the high beta, low quality and low momentum stocks have dominated the market despite little improvement in their fundamentals. The portfolio's slightly smaller capitalization profile helped performance as smaller stocks fared better than larger cap stocks. Industry exposures had a slight positive impact on performance during the past six months. The continued underweight in IT hardware had the largest negative impact on performance as a result of the strength in the technology stocks, especially within the semiconductor hardware sector. This was offset by the positive impact of an overweight position in the construction and homebuilding sector which continued to benefit from the still strong housing market. The effect of stock selection was slightly negative over the six month period, as the benefit of holding Boston Scientific and Sears was more than offset by the costs of holding Freddie Mac, Merck and Forest Labs. For much of the past year and especially during the last six months, the market leadership has been with a group of high beta, low quality stocks that our models find overpriced relative to their likely future earnings. As a result, the performance of the Fund has trailed the benchmark; however, the earnings of the companies we have held in our portfolios have been superior to the companies in the benchmark. Looking back at the portfolio from a year ago, both the realized earnings and earnings growth relative to price have been higher than the benchmark. We believe that building portfolios with this earnings advantage may ultimately lead to outperformance of the benchmark, although there is no 8 guarantee this investment objective will be achieved. Sometimes this long-term philosophy requires patience during periods when investors pay too much for the likely future earnings and near-term earnings growth of companies. One reminder of this came during September when investors appeared to be reassessing the high valuations of the leading stocks. As a result, our relative performance improved as companies with more attractively priced fundamentals and earnings prospects were rewarded. We cannot predict exactly when this "refocus" on earnings will return to the market, but we believe that ultimately it could. The minimum investment for Institutional Shares is $1 million. The minimum investment for Investor Shares is $2,500. The minimum investment into Class A Shares or Class B Shares is $1,000. 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. 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 instances, 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. Investors cannot invest directly in any Index. 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 Standard & Poor's 500 (S&P 500) Index is an unmanaged index measuring large-cap U.S. stock market performance, and includes a representative sample of leading companies in leading industries. (3) The Russell 2000(R) Index measures the performance of the 2,000 smallest companies in the Russell 3000(R) Index, and represents approximately 8% of the total market capitalization of the Russell 3000(R) Index. (4) Relative strength is the rate which a stock falls relative to other stocks in a falling market or rises relative to other stocks in a rising market. (5) Beta is the systematic risk coefficient that expresses the expected response of asset or portfolio excess return to excess return on a market portfolio, e.g. a beta of 1.5 implies that 1.5 times the excess return on the market can be expected. 9 AXA ROSENBERG INTERNATIONAL EQUITY FUND -------------------------------------------------------------------------------- PERFORMANCE -- AVERAGE ANNUAL TOTAL RETURNS AS OF SEPTEMBER 30, 2003
SINCE SINCE LAST LAST INCEPTION INCEPTION 1 YEAR 3 YEARS (6/7/00) (12/5/00) ------ ------- --------- --------- Institutional Shares (REQIX)................................ 24.77% -6.45% -8.34% -- Investor Shares (RIEIX)..................................... 24.58% -- -- -6.51% Class A Shares (REQAX)(1)................................... 24.17% -6.90% -8.78% -- Class A Shares*(1).......................................... 17.35% -8.65% -10.34% -- Class B Shares (REQBX)(1)................................... 22.76% -7.62% -9.47% -- Class B Shares**(1)......................................... 17.76% -8.81% -10.25% -- MSCI-EAFE Index(2).......................................... 26.54% -8.38% -10.29% -7.85%
Past performance is not indicative of future results. The table above does not reflect the deduction of taxes that a Shareholder would pay on Fund distributions and redemption of Fund shares. MARKET REVIEW The international equity markets rallied strongly during the six month period ending September 2003. Economic data released during the period showed more signs of economic expansion across the world. Strong equity returns since April were fueled by investors' expectations for improving corporate profit outlook and strong economic recovery. However, by the end of the period, there were increasing concerns about the hefty valuation of equity in general and uncertainty associated with the strength of the recovery. Over the same time period, the weakness of the U.S. dollar added more gains to foreign stocks as the Euro and Yen both appreciated more than 6% against the dollar. Market sentiment improved drastically as investors poured money back into stocks in anticipation of a strengthening economy later in the year. Among major industry groups, technology and cyclical stocks outperformed as the economy was strengthening. Defensive stocks such as healthcare and utilities stocks underperformed during the period. Stocks in Europe rose sharply since April 2003. Both macroeconomic indicators and corporate earnings continued to surprise on the upside, pointing toward further economic expansion in Europe. However, rising equity valuation raised concerns over the sustainability of the current stock market rally. In terms of country performance, Germany, Sweden and Greece were among the best performers as Portugal and Austria trailed. In Japan, the equity market rebounded strongly from the lows in March 2003. Better than expected GDP growth and improved manufacturing activities spurred a renewed interest in equities from both domestic and foreign investors. In addition, an appreciating Yen added to the gain in the quarter. Elsewhere in Asia, markets moved up sharply during the period. Stocks in Hong Kong and Singapore fell sharply on Severe Acute Respiratory Syndrome (SARS) concerns early in April and May but rebounded strongly in anticipation of a strong economic growth in the region. In evaluating companies, we look at two broad dimensions, valuation and near-term earnings growth. Although other features of stocks (a theme, for example) may drive performance for short periods, over time it is these dimensions of earnings that we feel are rewarded by market. PERFORMANCE REVIEW The Fund underperformed its benchmark, the MSCI-EAFE Index(2), during the six month period ending in September 2003. The underperformance split between industry exposure and weak stock selection. Underweight positions in the technology sector and cyclical industries hurt the Fund's performance during the time period. The Fund's active exposure to risk factors contributed slightly positively. Overweight position in Unilever NV and underweight in Credit Suisse Group hurt the performance. As of September 30, 2003, the portfolio holdings were diversified over 21 countries and about 304 companies. The top 10 holdings accounted for about 20% of the total portfolio. Approximately 71% of the holdings were invested in Europe. The minimum investment for Institutional Shares is $1 million. The minimum investment for Investor Shares is $2,500. The minimum investment into Class A shares or Class B shares is $1,000. 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 10 conditions affecting a fund's portfolio, so that an investor's shares, when redeemed, may be worth more or less than their original cost. Total return includes change in share price and reinvestment of distributions. Total return set forth may reflect the waiver of a portion of the Fund's advisory or administrative fees for certain periods since the inception date. In such instances, and without the waiver of fees, total return would have been lower. International investing involves increased risk and volatility. Portfolio holdings are subject to change and may not represent current or future holdings. Investors cannot invest directly in any Index. 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. 11 AXA ROSENBERG INTERNATIONAL SMALL CAPITALIZATION FUND -------------------------------------------------------------------------------- PERFORMANCE -- AVERAGE ANNUAL TOTAL RETURNS AS OF SEPTEMBER 30, 2003
SINCE SINCE LAST LAST LAST INCEPTION INCEPTION 1 YEAR 3 YEARS 5 YEARS (9/23/96) (10/29/96) ------ ------- ------- --------- ---------- Institutional Shares (ICSIX)........................... 51.26% 5.42% 11.18% 5.11% -- Investor Shares (RISIX)................................ 50.98% 5.14% 10.84% -- 4.82% Class A Shares (RSCAX)(1).............................. 50.50% 4.88% 10.63% 4.58% -- Class A Shares*(1)..................................... 42.30% 2.92% 9.40% 3.74% -- Class B Shares (RSCBX)(1).............................. 49.79% 4.35% 10.06% 4.10% -- Class B Shares**(1).................................... 44.79% 3.11% 9.79% 4.10% -- NGSCexUS(2,3).......................................... 48.17% 4.09% 7.00% 1.64% 1.66%
Past performance is not indicative of future results. The table above does not reflect the deduction of taxes that a Shareholder would pay on Fund distributions and redemption of Fund shares. MARKET REVIEW The international equity markets rallied strongly during the six month period ending September 2003. Economic data released during the period showed more signs of economic expansion across the world. Strong equity returns since April were fueled by investors' expectations for improving corporate profit outlook and strong economic recovery. However, by the end of six month period, there were increasing concerns about the hefty valuation of equity in general and uncertainty associated with the strength of the recovery. Small-cap stocks continued to outperform large-cap stocks. The leadership of small-cap stocks is typical when investors expect strengthening economic conditions. Over the same time period, the weakness of the U.S. dollar added more gains to foreign stocks as the Euro and Yen both appreciated more than 6% against the dollar. During the six month period ending in September, international small-cap stocks, as measured by the Nomura Global Small Cap Index ex US (NGSCexUS)(2), gained an impressive 42.56%. Market sentiment improved dramatically as investors poured money back into stocks in anticipation of a strengthening economy later in the year. Among major industry groups, technology and cyclical stocks outperformed as the economy was strengthening. Defensive stocks such as healthcare and utilities stocks underperformed during the period. Stocks in Europe rose sharply since April 2003. Both macroeconomic indicators and corporate earnings continued to surprise on the upside, pointing toward further economic expansion in Europe. However, rising equity valuation raised concerns over the sustainability of the current stock market rally. In terms of country performance, Germany, Sweden and Greece were among the best performers as Portugal and Austria trailed. In Japan, the equity market rebounded strongly from the lows in March 2003. Better than expected GDP growth and improved manufacturing activities spurred a renewed interest in equities from both domestic and foreign investors. In addition, an appreciating Yen added to the gain in the quarter. Elsewhere in Asia, markets moved up sharply during the period. Stocks in Hong Kong and Singapore fell sharply on Severe Acute Respiratory Syndrome (SARS) concerns early in April and May but rebounded strongly in anticipation of a strong economic growth in the region. PERFORMANCE REVIEW The Fund slightly underperformed the benchmark, NGSCexUS, during the six month period ending in September 2003. The underperformance was mainly attributable to industry exposure. While most active industry exposures had small impacts on the performance, the Fund's modest underweight exposure in IT hardware and retail industries hurt the performance as a result of the strength in those sectors. As of September 30, 2003, portfolio holdings were diversified over 24 countries and about 800 companies. The top 10 holdings accounted for about 8% of the total portfolio. Approximately 59% of the holdings were invested in Europe. The minimum investment for Institutional Shares is $1 million. The minimum investment for Investor Shares is $2,500. The minimum investment into Class A Shares or Class B Shares is $1,000. 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. 12 Total return includes change in share price and reinvestment of distributions. Total return set forth may reflect the waiver of a portion of the Fund's advisory or administrative fees for certain periods since the inception date. In such instances, and without the waiver of fees, total return would have been lower. 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. Portfolio holdings are subject to change and may not represent current or future holdings. Investors cannot invest directly in any Index. 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) with a maximum of 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 Nomura Global Small Cap Index excluding the U.S. (NGSCexUS) is an unmanaged index that represents the performance of companies in the lowest 15% by market capitalization in 22 developed markets other than the U.S. Investors cannot invest directly in any index. (3) On May 1, 2003, the Cazenove Rosenberg Global Smaller Companies Index excluding the U.S. (CRIexUS) was renamed the Nomura Global Small Cap Index excluding the U.S. (NGSCexUS). 13 AXA ROSENBERG EUROPEAN FUND -------------------------------------------------------------------------------- PERFORMANCE -- AVERAGE ANNUAL TOTAL RETURNS AS OF SEPTEMBER 30, 2003
SINCE LAST INCEPTION 1 YEAR (7/23/01) ------ --------- Institutional Shares (AEUIX)................................ 31.17% -2.15% Class A Shares (REUAX)(1)................................... 30.70% -2.60% Class A Shares*(1).......................................... 23.52% -5.07% Class B Shares (REUBX)(1)................................... 30.16% -3.18% Class B Shares**(1)......................................... 25.16% -4.95% MSCI Europe Index(2)........................................ 28.18% -2.78%
Past performance is not indicative of future results. The table above does not reflect the deduction of taxes that a Shareholder would pay on Fund distributions and redemption of Fund shares. MARKET REVIEW The European equity market rose sharply during the six month period ending September 2003. Strong returns since April were fueled by investors' expectations for improving corporate profit outlook and strong economic recovery. The latest economic data showed more signs of economic expansion in Europe. However, by September, there were increasing concerns about the hefty valuation of equity in general and uncertainty associated with the strength of the recovery. Small-cap stocks continued to outperform large-cap stocks. The leadership of small-cap stocks is typical when investors expect strengthening economic conditions. Over the same time period, the weakness of the U.S. dollar added more gains to foreign stocks as the Euro and Sterling both appreciated more than 6% against the dollar. For the six months as a whole, stocks in Europe gained 27.23%. Among major industry groups, pharmaceutical, retail and software stocks outperformed as utilities and health care underperformed during the same time period. In terms of country performance, Germany, Sweden and Greece were among the best performing countries as Austria and Portugal trailed. PERFORMANCE REVIEW The Fund slightly underperformed its benchmark, the MSCI Europe Index(2), during the six month period ending in September 2003. The Fund's underperformance was mainly attributable to negative contribution from industry exposure. While most active industry exposures had small impacts on the performance, the portfolio's modest underweight in retail industry and overweight in utilities stocks hurt the performance. As of September 30, 2003, the portfolio holdings were diversified over 13 countries and 146 companies. The top 10 holdings accounted for about 32% of the total portfolio. Approximately 37% of the holdings were invested in the United Kingdom. The price-to-earnings ratio of the portfolio was around 31, and the median market capitalization of the holdings was approximately $29 billion. The minimum investment for Institutional Shares is $1 million. The minimum investment for Investor Shares is $2,500. The minimum investment into Class A Shares or Class B Shares is $1,000. PERFORMANCE DATA REPRESENTS PAST PERFORMANCE WHICH DOES NOT GUARANTEE FUTURE RESULTS. Investment return and principal value may increase or decrease depending upon market, economic, political, currency exchange rates and other conditions affecting a fund's portfolio, so that an investor's shares, when redeemed, may be worth more or less than their original cost. International investing involves increased risk and volatility. Total return includes change in share price and reinvestment of distributions. Total return set forth may reflect the waiver of a portion of the Fund's advisory or administrative fees for certain periods since the inception date. In such instances, and without the waiver of fees, total return would have been lower. Portfolio holdings are subject to change and may not represent current or future holdings. Investors cannot invest directly in any Index. 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 (MSCI) Europe Index is an unmanaged, weighted equity index comprised of 16 developed European markets, including the (MSCI) U.K., based on large and medium capitalization securities. 14 AXA ROSENBERG U.S. LARGE/MID CAPITALIZATION LONG/SHORT EQUITY FUND -------------------------------------------------------------------------------- PERFORMANCE -- AVERAGE ANNUAL TOTAL RETURNS AS OF SEPTEMBER 30, 2003
SINCE SINCE LAST LAST INCEPTION INCEPTION 1 YEAR 3 YEARS (10/19/98) (11/11/98) ------ ------- ---------- ---------- Institutional Shares (SSMNX)................................ -11.96% 4.39% 4.58% -- Investor Shares (RMNIX)..................................... -12.22% 4.10% -- 4.26% Class A Shares (RSSAX)(1)................................... -12.45% 3.88% 4.05% -- Class A Shares*(1).......................................... -17.27% 1.94% 2.86% -- Class B Shares (RSSBX)(1)................................... -12.77% 3.39% 3.55% -- Class B Shares**(1)......................................... -17.13% 2.12% 3.20% -- Class C Shares (RSSDX)(2)................................... -12.88% 3.35% 3.54% -- Class C Shares***(2)........................................ -14.59% 2.99% 3.33% -- U.S. 90-day T-bills......................................... 1.12% 2.44% 3.59% 3.57%
Past performance is not indicative of future results. The table above does not reflect the deduction of taxes that a Shareholder would pay on Fund distributions and redemption of Fund shares. MARKET REVIEW The U.S. equity market rallied strongly during the six month period ending September 2003, with the Russell 1000 Index(3) rising 19.21%. After the toppling of Saddam Hussein in Iraq, investors seemed to turn their attention to a slowly emerging economic recovery. Despite mixed economic and corporate earnings signals and continued hostilities and uncertainty in Iraq, investors pushed up equity returns for six consecutive months until a modest sell-off in September. The September weakness came as the result of increasing concerns about overvaluation among the leading stocks as the broad-based economic recovery that is currently underway is likely to be only moderately strong in the near-term. Over the past six months, small-cap and growth stocks were the market leaders, reflecting investors' expectations for continued strengthening in the economy. For the period, the Russell 2000 Index(4) was up 34.62% compared with a 19.21% gain for the Russell 1000 Index. The surge in small-cap stocks has been fueled by strong gains in the technology sector. In fact, thus far in 2003, small-cap technology stocks have increased over 50%. Over the period April 1 to September 30, 2003, value stocks have outpaced growth stocks by 0.91% in the large cap arena, but growth leads value by 4.25% in the mid/small end of the spectrum. After six consecutive monthly gains in the Russell 1000 Index, the index declined in September 2003. The sell-off in the market in September was in part a reaction to how far these expensive technology stocks have risen in the last year with questionable improvement in earnings prospects. PERFORMANCE REVIEW For the six month period ending September 2003, the Fund lost 7.91%, or 8.40% relative to its U.S. 90-day T-bill benchmark. Since inception, the Fund has outperformed its benchmark by 0.99% on an annualized basis (in the Institutional shares). The poor performance for the trailing six months is due, almost entirely, to the Fund's positive net exposure to relative strength (trailing price momentum). Returns associated with the Fund's industry posture were slightly positive, but not nearly enough to offset style-related losses. The portfolio gained most from a 5.5% average long position on Insurance. Also high on the list of positive contributors were long positions on banks and building/construction. The worst performing industry exposure was a net short position on airlines. Stock specific return, the return not attributable to style or industry risk, was also negative over the six months. For much of the past year, the market leadership has been with a group of high beta(5), low quality stocks that our models find overpriced relative to their likely future earnings. As a result, the performance of the Fund has trailed our long-run return expectations; however, the earnings of the companies we have held long have been superior to the companies in the short portfolio. Looking back at the portfolio held a year ago, the realized earnings on the longs have been far superior to those on the shorts. We believe that building portfolios with this earnings advantage may ultimately lead to strong performance, although there is no guarantee this investment objective will be achieved. 15 The minimum investment of the Institutional Shares is $1 million. The minimum investment of the Investor Shares is $2,500. The minimum investment into Class A Shares, Class B Shares or Class C Shares is $1,000. PERFORMANCE DATA REPRESENTS PAST PERFORMANCE WHICH DOES NOT GUARANTEE FUTURE RESULTS. Investment return and principal value may increase or decrease depending upon market conditions so that an investor's shares, when redeemed, may be worth more or less than their original cost. Total return includes change in share price and reinvestment of distributions. Total return set forth reflects the waiver of a portion of the Fund's advisory or administrative fees for certain periods since the inception date. In such instances, and without the waiver of fees, total return would have been lower. Investment in shares of the AXA Rosenberg U.S. Large/Mid Capitalization Long/Short Equity 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 U.S. Large/Mid Capitalization Long/Short Equity 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 U.S. Large/Mid Capitalization Long/Short Equity 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 U.S. 90-day T-bills is different from an investment in the AXA Rosenberg U.S. Large/Mid Capitalization Long/Short Equity 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. Portfolio holdings are subject to change and may not represent current or future holdings. Investors cannot invest directly in any Index. 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%. *** Reflects maximum 1.00% sales charge and the applicable contingent deferred sales charge (CDSC) maximum 1.00%. (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) Prior to the inception of Class C Shares on April 1, 2003, the performance is based on Institutional Share performance adjusted to reflect the deduction of fees and expenses. (3) The Russell 1000 Index is an unmanaged index that measures the performance of the 1,000 largest companies in the Russell 3000 Index, and represents approximately 92% of the total market capitalization of the Russell 3000 Index. Investors cannot invest directly in any index. (4) The Russell 2000 Index is an unmanaged index that measures the performance of the 2000 smallest companies in the Russell 3000 Index, and represents approximately 8% of the total market capitalization of the Russell 3000 Index. Investors cannot invest directly in any index. (5) Beta is the systematic risk coefficient that expresses the expected response of asset or portfolio excess return to excess return on a market portfolio, e.g. a beta of 1.5 implies that 1.5 times the excess return on the market can be expected. 16 AXA ROSENBERG VALUE LONG/SHORT EQUITY FUND -------------------------------------------------------------------------------- PERFORMANCE -- AVERAGE ANNUAL TOTAL RETURNS AS OF SEPTEMBER 30, 2003
SINCE SINCE LAST LAST LAST INCEPTION INCEPTION 1 YEAR 3 YEARS 5 YEARS (12/16/97) (12/18/97) ------ ------- ------- ---------- ---------- Institutional Shares (BMNIX).......................... -15.11% 11.26% 1.75% 1.87% -- Investor Shares (BRMIX)............................... -15.33% 10.96% 1.43% -- 1.55% Class A Shares (RVMAX)(1)............................. -15.52% 10.76% 1.26% 1.47% -- Class A Shares*(1).................................... -20.15% 8.68% 0.12% 0.49% -- Class B Shares (RVMBX)(1)............................. -15.94% 10.17% 0.74% 0.94% -- Class B Shares**(1)................................... -20.14% 9.06% 0.35% 0.78% -- Class C Shares (RVMCX)(2)............................. -15.85% 10.20% 0.77% 0.88% -- Class C Shares***(2).................................. -17.50% 9.82% 0.57% 0.71% -- U.S. 90-day T-Bills................................... 1.12% 2.44% 3.51% 3.80% 3.80%
Past performance is not indicative of future results. The table above does not reflect the deduction of taxes that a Shareholder would pay on Fund distributions and redemption of Fund shares. MARKET REVIEW The U.S. equity market rallied strongly during the six month period ending September 2003, with the Russell 1000 Index(3) rising 19.21%. After the toppling of Saddam Hussein in Iraq, investors seemed to turn their attention to a slowly emerging economic recovery. Despite mixed economic and corporate earnings signals and continued hostilities and uncertainty in Iraq, investors pushed up equity returns for six consecutive months until a modest sell-off in September. The September weakness came as the result of increasing concerns about overvaluation among the leading stocks as the broad-based economic recovery that is currently underway is likely to be only moderately strong in the near-term. Over the past six months, small-cap and growth stocks were the market leaders, reflecting investors' expectations for continued strengthening in the economy. For the period, the Russell 2000 Index(4) was up 34.62% compared with a 19.21% gain for the Russell 1000 Index. The surge in small-cap stocks has been fueled by strong gains in the technology sector. In fact, thus far in 2003, small-cap technology stocks have increased over 50%. Over the period April 1 to September 30, 2003, value stocks have outpaced growth by 0.91% in the large cap arena, but growth leads value by 4.25% in the mid/small end of the spectrum. PERFORMANCE REVIEW For the six month period ending September 2003 the Fund lost 8.87% or 9.36% relative to its U.S. 90-Day T-bill benchmark. The poor performance for the trailing six months is due, primarily, to the Fund's positive net exposure to relative strength(5) (trailing price momentum), and secondarily to the Fund's negative net beta(6). Though the period was technically a "growth" period, the effect of the Fund's value bias was trivial. For much of the past year, the market leadership has been with a group of high beta, low quality stocks that our models find overpriced relative to their likely future earnings. As a result, the performance of the Fund has trailed our long-run return expectations. Returns associated with the Fund's industry posture were slightly negative. Gains were made from net long positions on Transport and Insurance, but losses associated with net short positions in Miscellaneous Finance and Biotech were more than offsetting. All told, net exposure to Industry accounted for approximately 80% of the negative active return for the period. Stock specific return, the return not attributable to style or industry risk, was actually positive over the trailing six months. Gains were made on both the long and short side of the portfolio. Unfortunately, the small positive contribution here was not enough to make up for the larger losses associated with relative strength and beta. The minimum investment for Institutional Shares is $1 million. The minimum investment for Investor Shares is $2,500. The minimum investment into Class A Shares, Class B Shares or Class C Shares is $1,000. PERFORMANCE DATA REPRESENTS PAST PERFORMANCE, WHICH DOES NOT GUARANTEE FUTURE RESULTS. Investment return and principal value may increase or decrease depending upon market conditions so that an investor's shares, when redeemed, may be worth more or less than their original cost. 17 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 instances, and without the waiver of fees, total return would have been lower. Investment in shares of the AXA Rosenberg Value Long/Short Equity 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 Long/Short Equity Fund will involve risks associated with twice the number of investment decisions made for a typical stock fund. These types of fund typically have a high portfolio turnover that could increase transaction costs and cause short-term capital gains to be realized. While it may be the intent of the Manager to take long positions in stocks that outperform the market and short positions in stocks that underperform the market, in various market climates, there is no assurance that the Manager will be successful. Since risk in the AXA Rosenberg Value Long/Short Equity 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 U.S. 90-day T-bills is different from an investment in the AXA Rosenberg Value Long/Short Equity 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. Small capitalization funds typically carry additional risks, since smaller companies generally have experienced a greater degree of volatility than average. Portfolio holdings are subject to change and may not represent current or future holdings. Investors cannot invest directly in any Index. 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%. *** Reflects maximum 1.00% sales charge and the applicable contingent deferred sales charge (CDSC) maximum 1.00%. (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) Prior to the inception of Class C Shares on March 18, 2003, the performance is based on Institutional Share performance adjusted to reflect the deduction of fees and expenses. (3) The Russell 1000 Index is an unmanaged index that measures the performance of the 1,000 largest companies in the Russell 3000 Index, and represents approximately 92% of the total market capitalization of the Russell 3000 Index. Investors cannot invest directly in any index. (4) The Russell 2000 Index is an unmanaged index that measures the performance of the 2000 smallest companies in the Russell 3000 Index, and represents approximately 8% of the total market capitalization of the Russell 3000 Index. Investors cannot invest directly in any index. (5) Relative Strength is the rate at which a stock falls relative to other stocks in a falling market or rises relative to other stocks in a rising market. (6) Beta is the systematic risk coefficient that expresses the expected response of asset or portfolio excess return to excess return on a market portfolio, e.g. a beta of 1.5 implies that 1.5 times the excess return on the market can be expected. 18 AXA ROSENBERG GLOBAL LONG/SHORT EQUITY FUND -------------------------------------------------------------------------------- PERFORMANCE -- AVERAGE ANNUAL TOTAL RETURNS AS OF SEPTEMBER 30, 2003
SINCE SINCE LAST LAST INCEPTION INCEPTION 1 YEAR 3 YEARS (9/29/00) (8/23/01) ------ ------- --------- --------- Institutional Shares (MSMNX)................................ -11.06% 5.77% 5.77% -- Investor Shares (RMSIX)..................................... -11.33% -- -- 5.88% Class A Shares (RMNAX)(1)................................... -11.42% 4.88% 4.88% -- Class A Shares*(1).......................................... -16.27% 2.92% 2.92% -- Class B Shares (RMNBX)(1)................................... -11.95% 4.28% 4.28% -- Class B Shares**(1)......................................... -16.36% 3.04% 3.35% -- Class C Shares (RMNCX)(2)................................... -11.94% 4.73% 4.72% -- Class C Shares***(2)........................................ -13.71% 4.38% 4.38% -- U.S. 90-day T-bills......................................... 1.12% 2.44% 2.64% 1.87%
Past performance is not indicative of future results. The table above does not reflect the deduction of taxes that a Shareholder would pay on Fund distributions and redemption of Fund shares. MARKET REVIEW The U.S. equity market rallied strongly during the six month period ending September 2003, with the Russell 1000 Index(3) rising 19.21%. After the toppling of Saddam Hussein in Iraq, investors seemed to turn their attention to a slowly emerging economic recovery. Despite mixed economic and corporate earnings signals and continued hostilities and uncertainty in Iraq, investors pushed up equity returns for six consecutive months until a modest sell-off in September. The September weakness came as the result of increasing concerns about overvaluation among the leading stocks as the broad-based economic recovery that is currently underway is likely to be only moderately strong in the near-term. Over the past six months, small-cap and growth stocks were the market leaders, reflecting investors' expectations for continued strengthening in the economy. For the period, the Russell 2000 Index(4) was up 34.62% compared with a 19.21% gain for the Russell 1000 Index. The surge in small-cap stocks has been fueled by strong gains in the technology sector. In fact, thus far in 2003, small-cap technology stocks have increased over 50%. Over the period April 1 to September 30, 2003, value stocks have outpaced growth stocks by 0.91% in the large cap arena, but growth leads value by 4.25% in the mid/small end of the spectrum. After six consecutive monthly gains in the Russell 1000 Index, the index declined in September 2003. The sell-off in the market in September was in part a reaction to how far these expensive technology stocks have risen in the last year with questionable improvement in earnings prospects. PERFORMANCE REVIEW The Global Long/Short Equity Fund holds an equal-weighted combination of three strategies: US Value Long/Short Equity, US Large/Mid Cap Long/Short Equity, and US Growth Long/Short Equity. For the six month period ending September 2003 the Fund lost 6.49%, or 6.98% relative to its 90-Day T-bill benchmark. Since inception, the Fund has outperformed its benchmark by 3.13% on an annualized basis (in the Institutional shares). Though all of the Global Long/Short Equity Fund's constituent strategies lost money over the six month period, the Growth piece lost the least. Like all of AXA Rosenberg's US strategies, the Growth long/short portfolio carries a positive net exposure to relative strength(5) (a risk factor that has been soundly punished recently). Its other "growth" characteristics -- negative net exposure to both P/E(6) and P/B(7) -- gave the portfolio a little more resiliency in a difficult market environment. The primary source of loss for the Fund as a whole was a positive exposure to relative strength (trailing price momentum) and a slightly negative net beta(8). For much of the past year, the market leadership has been with a group of high beta, low quality stocks that our models find overpriced relative to their likely future earnings. As a result the performance of the Fund has trailed our long-run return expectations; however, the earnings of the companies we have held long have been superior to the companies in the short portfolio. Looking back at the portfolio held a year ago, the realized earnings on the longs have been far superior to those on the shorts. We believe that building portfolios with this earnings advantage may ultimately lead to strong performance. 19 The minimum investment for Institutional Shares is $1 million. The minimum investment for Investor shares is $2,500. The minimum investment into Class A Shares, Class B Shares or Class C Shares is $1,000. PERFORMANCE DATA REPRESENTS PAST PERFORMANCE WHICH DOES NOT GUARANTEE FUTURE RESULTS. Investment return and principal value may increase or decrease depending upon market conditions so that an investor's shares, when redeemed, may be worth more or less than their original cost. Total return includes change in share price and reinvestment of distributions. Total return set forth may reflect the waiver of a portion of the Fund's advisory or administrative fees for certain periods since the inception date. In such instances, and without the waiver of fees, total return would have been lower. Investment in shares of the AXA Rosenberg Global Long/Short Equity 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 Global Long/Short Equity Fund will involve risks associated with twice the number of investment decisions made for a typical stock fund. These types of fund typically have a high portfolio turnover that could increase transaction costs and cause short-term capital gains to be realized. While it may be the intent of the Manager to take long positions in stocks that outperform the market and short positions in stocks that underperform the market, in various market climates, there is no assurance that the Manager will be successful. Since risk in the AXA Rosenberg Global Long/Short Equity 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 U.S. 90-day T-bills is different from an investment in the AXA Rosenberg Global Long/Short Equity 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. International investing involves increased risk and volatility. Portfolio holdings are subject to change and may not represent current or future holdings. Investors cannot invest directly in any Index. 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%. *** Reflects maximum 1.00% sales charge and the applicable contingent deferred sales charge (CDSC) maximum 1.00%. (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) Prior to the inception of Class C Shares on March 17, 2003, the performance is based on Institutional Share performance adjusted to reflect the deduction of fees and expenses. (3) The Russell 1000 Index is an unmanaged index that measures the performance of the 1,000 largest companies in the Russell 3000 Index, and represents approximately 92% of the total market capitalization of the Russell 3000 Index. Investors cannot invest directly in any index. (4) The Russell 2000 Index is an unmanaged index that measures the performance of the 2,000 smallest companies in the Russell 3000 Index, and represents approximately 8% of the total market capitalization of the Russell 3000 Index. Investors cannot invest directly in any index. (5) Relative Strength is the rate at which a stock falls relative to other stocks in a falling market or rises relative to other stocks in a rising market. (6) P/E -- Price Earnings Ratio is the price of a stock divided by its earnings per share. The P/E ratio may either use the reported earnings from the latest year or employ an analyst's forecast of next years earnings. (7) P/B -- Price to Book compares the stock's market value to the value of the total assets less the total liabilities. (8) Beta is the systematic risk coefficient that expresses the expected response of asset or portfolio excess return to excess return on a market portfolio, e.g. a beta of 1.5 implies that 1.5 times the excess return on the market can be expected. 20 AXA ROSENBERG U.S. SMALL CAPITALIZATION FUND SCHEDULE OF PORTFOLIO INVESTMENTS -- SEPTEMBER 30, 2003 (UNAUDITED) --------------------------------------------------------------------------------
SHARES VALUE ----------- ------------ COMMON STOCKS -- 98.4% AIRCRAFT -- 0.0% 1,700 Curtiss-Wright Corp. ...... $ 120,054 ------------ AIRLINES -- 1.4% 97,500 AirNet Systems, Inc.*...... 391,950 537,900 AirTran Holdings, Inc.*.... 9,009,824 128,300 Alaska Air Group, Inc.*.... 3,569,306 11,086 Frontier Airlines, Inc.*... 182,476 42,730 MAIR Holdings, Inc.*....... 290,137 ------------ 13,443,693 ------------ AUTOS -- 0.1% 47,960 Edelbrock Corp. ........... 529,958 45,100 R&B, Inc.*................. 580,888 300 Wabash National Corp.*..... 4,785 ------------ 1,115,631 ------------ BANKS -- 10.8% 41,089 1st Source Corp. .......... 785,211 102 Abigail Adams National Bancorp, Inc. ........... 1,758 7,500 ACE Cash Express, Inc.*.... 109,875 229,900 Advanta Corp., Class A..... 2,528,900 77 Ameriana Bancorp........... 1,174 4,510 American Business Financial Services, Inc. .......... 22,911 22,100 American Home Mortgage Holdings, Inc. .......... 388,297 63,800 American Residential Investment Trust, Inc.*.................... 521,884 21,300 AmeriServ Financial, Inc. .................... 88,821 30,900 ASTA Funding, Inc. ........ 803,060 300 Auburn National Bancorporation, Inc. .... 5,430 755 Bancorp Rhode Island, Inc. .................... 21,412 231,700 BankUnited Financial Corp., Class A*................. 4,884,236 5,300 Berkshire Bancorp, Inc. ... 227,900 22,300 Berkshire Hills Bancorp, Inc. .................... 751,287 11,300 BNCCORP, Inc.*............. 172,325 85,536 BSB Bancorp, Inc. ......... 2,370,203 7,276 Business Bancorp........... 213,187 93 BWC Financial Corp. ....... 1,819 3,990 California Independent Bancorp.................. 139,953 1,435 Capital Bank Corp. ........ 22,530 15 Capital Corp. of the West*.................... 483 8,902 Capital Crossing Bank*..... 316,466 60,900 Capital Trust, Class A..... 1,206,429 10,000 Cardinal Financial Corp.*................... 69,500 22,600 Carver Bancorp, Inc. ...... 410,190 13,200 Cascade Financial Corp. ... 246,576 18,513 CB Bancshares, Inc. ....... 1,133,940 300 Central Federal Corp. ..... 4,200 4,300 Central Pacific Financial Corp. ................... 105,350 21,000 CFS Bancorp, Inc. ......... 292,320 210 Chemical Financial Corp. ................... 6,500 3,700 City Holding Co. .......... 122,840 4,375 Colony Bankcorp, Inc. ..... 77,831 18,326 Columbia Banking System, Inc. .................... 322,171 4,500 Community Bank System, Inc. .................... 197,595 2,800 Community Financial Corp. ................... 49,420 6,600 Community West Bancshares*.............. 46,200
SHARES VALUE ----------- ------------ COMMON STOCKS (CONTINUED) BANKS (CONTINUED) 157,950 CompuCredit Corp.*......... $ 2,764,125 4,300 Corus Bankshares, Inc. .... 230,050 29,300 Cowlitz Bancorp*........... 260,770 23,300 Crescent Banking Co. ...... 699,932 4,210 Dearborn Bancorp, Inc.*.... 87,989 19,580 Desert Community Bank...... 382,006 100 DutchFork Bancshares, Inc.*.................... 3,550 2,400 ECB Bancorp, Inc. ......... 54,024 2,500 EFC Bancorp, Inc. ......... 52,000 9,200 Elmira Savings Bank, FSB... 266,708 18,600 Encore Capital Group, Inc.*.................... 217,620 1,700 EverTrust Financial Group, Inc. .................... 48,246 21,600 FFLC Bancorp, Inc. ........ 627,048 8,300 FFW Corp. ................. 180,110 15,700 Fidelity Southern Corp. ... 212,578 600 First Bancorp of Indiana, Inc. .................... 11,730 14,700 First Bancshares, Inc. .... 302,056 1,700 First BancTrust Corp. ..... 40,290 45,700 First Citizens BancShares, Inc., Class A............ 4,830,490 7,300 First Federal Bancorp, Inc. .................... 58,765 3,100 First Federal Bankshares, Inc. .................... 68,510 9,300 First Kansas Financial Corp. ................... 159,774 2,000 First Midwest Financial, Inc. .................... 44,100 9,458 First Mutual Bancorp, Inc. .................... 182,539 750 First Oak Brook Bancshares, Inc. .................... 18,675 100 First Place Financial Corp. ................... 1,775 4,000 First Regional Bancorp*.... 82,440 2,000 FirstFed America Bancorp, Inc. .................... 44,200 2,100 FirstFed Bancorp, Inc. .... 17,052 49,200 FirstFed Financial Corp.*................... 1,943,400 17,100 Flagstar Bancorp, Inc. .... 392,445 17,300 Florida Banks, Inc.*....... 201,372 5,500 FMS Financial Corp. ....... 92,125 15,700 FSF Financial Corp. ....... 483,403 577 Gateway Financial Holdings, Inc.*.................... 6,318 107,900 Gold Banc Corp., Inc. ..... 1,308,827 200 Great Pee Dee Bancorp, Inc. .................... 3,326 6,849 Greater Atlantic Financial Corp.*................... 54,450 8,100 GS Financial Corp. ........ 155,763 1,600 Guaranty Financial Corp. ................... 25,456 27,300 Habersham Bancorp.......... 559,923 300 Harrodsburg First Financial Bancorp, Inc. ........... 5,733 2,000 Hemlock Federal Financial Corp. ................... 62,200 10,500 Hingham Institution for Savings.................. 388,500 6,400 HMN Financial, Inc. ....... 137,600 2,782 Horizon Bancorp............ 99,457 32,300 HPSC, Inc.*................ 290,700 6,600 Hudson River Bancorp, Inc. .................... 212,058 47,909 Humboldt Bancorp........... 751,692 7,000 Iberiabank Corp. .......... 368,340 9,922 Independence Federal Savings Bank*............ 176,116 22,400 InterCept, Inc.*........... 306,208 13,990 International Bancshares Corp. ................... 579,886 39,700 Intervest Bancshares Corp.*................... 514,115 146,100 Irwin Financial Corp. ..... 3,550,230 30,000 ITLA Capital Corp.*........ 1,278,300
See accompanying notes to the financial statements. 21 AXA ROSENBERG U.S. SMALL CAPITALIZATION FUND SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- SEPTEMBER 30, 2003 (UNAUDITED) --------------------------------------------------------------------------------
SHARES VALUE ----------- ------------ COMMON STOCKS (CONTINUED) BANKS (CONTINUED) 13,300 Jacksonville Bancorp, Inc. .................... $ 495,558 5,000 Kankakee Bancorp, Inc. .... 258,750 4,100 Klamath First Bancorp, Inc. .................... 88,765 4,900 Local Financial Corp.*..... 87,661 3,500 Long Island Financial Corp. ................... 95,725 100 LSB Financial Corp. ....... 2,450 21,180 MAF Bancorp, Inc. ......... 809,076 12,799 Massbank Corp. ............ 470,619 3,331 Matrix Bancorp, Inc.*...... 30,212 200 Mayflower Co-operative Bank..................... 3,860 14,000 MB Financial, Inc. ........ 621,600 3,300 MFB Corp. ................. 105,600 3,621 MidWestOne Financial Group, Inc. .................... 65,073 100 MutualFirst Financial, Inc. .................... 2,560 6,280 Mystic Financial, Inc. .... 149,464 1,200 National Mercantile Bancorp*................. 8,712 231,450 New Century Financial Corp. ................... 6,554,663 6,200 New Hampshire Thrift Bancshares, Inc. ........ 160,704 13,650 North Valley Bancorp....... 210,893 11,870 Northeast Indiana Bancorp, Inc. .................... 223,037 1,700 Northeast Pennsylvania Financial Corp. ......... 29,750 15,600 Northway Financial, Inc. .................... 465,036 8,900 Onyx Acceptance Corp.*..... 85,885 3,300 Oregon Trail Financial Corp. ................... 82,632 5,600 Pacific Mercantile Bancorp*................. 54,320 12,000 Park Bancorp, Inc. ........ 336,000 2,000 Parkvale Financial Corp. ................... 50,500 7,350 Patriot Bank Corp. ........ 138,180 15,919 Patriot National Bancorp, Inc. .................... 173,995 17,700 Pelican Financial, Inc. ... 188,682 1,600 Peoples Community Bancorp*................. 35,200 67,900 PFF Bancorp, Inc. ......... 2,164,652 3,800 Pittsburgh Financial Corp. ................... 74,062 6,500 Pocahontas Bancorp, Inc. .................... 84,760 500 Pointe Financial Corp. .... 11,200 12,455 Progress Financial Corp. ................... 340,022 11,600 Provident Bankshares Corp. ................... 327,700 2,550 Provident Financial Holdings, Inc. .......... 76,551 45,100 PSB Bancorp, Inc.*......... 374,330 5,500 QCR Holdings, Inc. ........ 123,750 184,300 R & G Financial Corp., Class B.................. 5,381,559 100 Republic First Bancorp, Inc.*.................... 1,180 198,900 Riggs National Corp. ...... 3,132,675 329,375 Saxon Capital, Inc.*....... 5,645,487 22,300 Seacoast Financial Services Corp. ................... 461,833 300 Security Bank Corp. ....... 8,850 1,700 Sierra Bancorp............. 26,146 23,400 South Financial Group, Inc. .................... 582,426 7,200 Southern Missouri Bancorp, Inc. .................... 198,072 15,971 Southside Bancshares, Inc. .................... 258,083 6,300 Southwest Bancorp, Inc. ... 106,155 600 StateFed Financial Corp. ................... 7,212 316,800 Staten Island Bancorp, Inc. .................... 6,161,759
SHARES VALUE ----------- ------------ COMMON STOCKS (CONTINUED) BANKS (CONTINUED) 52,700 Sterling Financial Corp.*................... $ 1,483,505 12,100 Team Financial, Inc. ...... 135,641 3,900 Teche Holding Co. ......... 138,450 12,800 TF Financial Corp. ........ 403,584 6,100 The Peoples BancTrust Co., Inc. .................... 88,822 900 Thistle Group Holdings Co. ..................... 23,175 19,600 Timberland Bancorp, Inc. .................... 468,440 200 Trust Co. of New Jersey.... 6,400 20,000 UCBH Holdings, Inc. ....... 604,600 52,500 UICI*...................... 658,350 93,786 UMB Financial Corp. ....... 4,423,886 3,007 UnionBancorp, Inc. ........ 62,606 10,000 United Bancshares, Inc. ... 162,500 1,320 United Financial Corp. .... 30,360 18,585 Unity Bancorp, Inc.*....... 208,152 39,449 Wainwright Bank & Trust Co. ..................... 446,523 5,390 Washington Banking Co. .... 85,593 241,847 Waypoint Financial Corp. ................... 4,836,940 9,700 Wells Financial Corp. ..... 260,639 129,400 Westcorp................... 4,522,530 400 Western Ohio Financial Corp. ................... 11,200 45 WFS Financial, Inc.*....... 1,666 3,600 Woronoco Bancorp, Inc. .... 100,800 12,400 WSFS Financial Corp. ...... 523,280 2,500 Yardville National Bancorp.................. 52,375 ------------ 101,940,922 ------------ BIOTECHNOLOGY -- 0.4% 1,600 Harvard Bioscience, Inc.*.................... 11,872 264,091 Nabi Biopharmaceuticals, Inc.*.................... 2,226,288 335,986 Savient Pharmaceuticals, Inc.*.................... 1,696,729 17,071 Third Wave Technologies*... 55,139 ------------ 3,990,028 ------------ BUILDING -- 1.9% 2,800 Advanced Medical Optics, Inc.*.................... 50,288 4,606 Anthony & Sylvan Pools Corp.*................... 16,489 45,631 Beazer Homes USA, Inc.*.... 3,851,256 1,100 Captital Pacific Holdings, Inc.*.................... 4,840 109,200 Coachmen Industries, Inc. .................... 1,278,732 26,625 Dominion Homes, Inc.*...... 685,061 53,000 Hovnanian Enterprises, Inc., Class A*........... 3,411,610 200 Liberty Homes, Inc., Class A........................ 850 15,500 Matrix Service Co.*........ 275,280 63,851 Modtech Holdings, Inc.*.... 506,977 60,500 Orleans Homebuilders, Inc.*.................... 715,110 63,400 Ryland Group, Inc. ........ 4,635,175 50,600 Skyline Corp. ............. 1,620,212 39,800 Technical Olympic USA, Inc.*.................... 1,094,500 ------------ 18,146,380 ------------ CELLULAR -- 0.0% 10,360 U.S. Cellular Corp.*....... 301,476 ------------ CHEMICALS -- 2.1% 48,800 American Pacific Corp.*.... 413,824 30,219 American Vanguard Corp. ... 755,475 38,600 Bairnco Corp. ............. 269,042 111,120 Esterline Technologies Corp.*................... 2,143,505 5,900 Ethyl Corp.*............... 74,222
See accompanying notes to the financial statements. 22 AXA ROSENBERG U.S. SMALL CAPITALIZATION FUND SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- SEPTEMBER 30, 2003 (UNAUDITED) --------------------------------------------------------------------------------
SHARES VALUE ----------- ------------ COMMON STOCKS (CONTINUED) CHEMICALS (CONTINUED) 262,900 Great Lakes Chemical Corp. ................... $ 5,286,919 358,300 Hercules, Inc.*............ 4,059,539 68 LESCO, Inc.*............... 743 10,350 MacDermid, Inc. ........... 273,758 118,400 Minerals Technologies, Inc. .................... 6,026,559 9,000 NL Industries, Inc. ....... 146,430 11,900 Stepan Co. ................ 271,082 1,300 Synalloy Corp.*............ 7,709 ------------ 19,728,807 ------------ COMPUTER -- 0.5% 436,100 Cray, Inc.*................ 4,788,378 3,000 SteelCloud, Inc.*.......... 13,500 ------------ 4,801,878 ------------ CONSTRUCTION MATERIALS -- 0.3% 65,200 Ameron International Corp. ................... 2,152,252 14,600 Continental Materials Corp.*................... 339,450 1,000 Oil-Dri Corporation of America.................. 12,000 26,500 Rock of Ages Corp. ........ 147,075 100 U.S. Concrete, Inc.*....... 512 100 United States Lime & Minerals, Inc. .......... 475 ------------ 2,651,764 ------------ DEFENSE -- 0.8% 12,300 Allied Defense Group, Inc.*.................... 259,653 185,160 Griffon Corp.*............. 3,325,474 25 Kaman Corp., Class A....... 324 94,100 KVH Industries, Inc.*...... 2,372,261 30,500 Lowrance Electronics, Inc. .................... 353,495 57,780 Todd Shipyards Corp. ...... 924,480 ------------ 7,235,687 ------------ DRUGS -- 3.2% 368,300 Alpharma, Inc., Class A.... 6,850,379 66,800 BioSource International, Inc.*.................... 484,300 90,100 E-Z-EM, Inc. .............. 1,094,715 180,333 Endo Pharmaceuticals Holdings, Inc.*.......... 3,687,810 97,596 Genencor International, Inc.*.................... 1,531,281 149,200 ICN Pharmaceuticals, Inc. .................... 2,560,272 132,400 Inverness Medical Innovation, Inc.*........ 3,362,960 108,534 Kos Pharmaceuticals, Inc.*.................... 3,733,570 1 Martek Biosciences Corp.*................... 53 62,100 Medicines Co.*............. 1,614,600 19,200 Meridian Bioscience, Inc. .................... 192,384 101,525 Nature's Sunshine Products, Inc. .................... 842,658 66,900 Nutraceutical International Corp.*................... 693,753 293,036 Perrigo Co. ............... 3,730,348 78 Serologicals Corp.*........ 1,026 9,564 Ventana Medical Systems, Inc.*.................... 385,429 ------------ 30,765,538 ------------ DURABLES -- 0.2% 19,700 Arctic Cat, Inc. .......... 380,801 32,100 Thor Industries, Inc. ..... 1,734,042 ------------ 2,114,843 ------------
SHARES VALUE ----------- ------------ COMMON STOCKS (CONTINUED) ELECTRIC UTILITIES -- 1.0% 71,400 Central Vermont Public Service Corp. ........... $ 1,583,652 346,700 Duquesne Light Holdings, Inc. .................... 5,353,048 3,200 Green Mountain Power Corp. ................... 72,160 152,900 Unisource Energy Corp. .... 2,908,158 100 Unitil Corp. .............. 2,507 ------------ 9,919,525 ------------ FINANCIAL INVESTMENTS -- 0.8% 144,750 Aaron Rents, Inc. ......... 3,032,513 200 Bestway, Inc.*............. 3,018 42,600 California First National Bancorp.................. 491,689 49,600 Choice Hotels International, Inc.*..... 1,439,392 6,355 Enstar Group, Inc.*........ 249,434 14,200 Fog Cutter Capital Group, Inc. .................... 71,980 52,939 G-III Apparel Group, Ltd.*.................... 515,626 2,650 Municipal Mortgage & Equity L.L.C.................... 64,978 37,589 PICO Holdings, Inc.*....... 491,288 1,135 Shenandoah Telecommunications Co. ..................... 43,754 83,900 TechTeam Global, Inc.*..... 512,629 35,600 United Rentals, Inc.*...... 572,804 48,500 Willis Lease Finance Corp.*................... 266,265 ------------ 7,755,370 ------------ FOOD -- 1.6% 21,900 Andersons, Inc. ........... 333,975 16,506 Cal-Maine Foods, Inc. ..... 123,795 162,900 Chiquita Brands International, Inc.*..... 2,883,330 3,371 Farmer Brothers Co. ....... 1,079,765 196,950 Flowers Foods, Inc. ....... 4,490,460 2,800 Glacier Water Services, Inc.*.................... 55,160 800 Hansen Natural Corp.*...... 4,672 67,300 John B. Sanfilippo & Son, Inc.*.................... 1,430,798 141,000 Lance, Inc. ............... 1,401,540 34,800 National Beverage Corp.*... 525,480 44,900 Omega Protein Corp.*....... 294,095 14,800 Sanderson Farms, Inc. ..... 465,608 4,230 Seaboard Corp. ............ 909,873 400 Seneca Foods Corp., Class B*....................... 7,600 25,800 Sylvan, Inc.*.............. 255,420 21,600 Zapata Corp.*.............. 1,207,440 ------------ 15,469,011 ------------ HEALTH -- 0.3% 23,600 Allied Healthcare International, Inc.*..... 92,512 123,100 Beverly Enterprises, Inc.*.................... 728,752 76 National Healthcare Corp.*................... 1,085 42,356 National Home Health Care Corp.*................... 347,319 85 PacifiCare Health Systems, Inc.*.................... 4,148 75,085 VCA Antech, Inc.*.......... 1,768,252 ------------ 2,942,068 ------------
See accompanying notes to the financial statements. 23 AXA ROSENBERG U.S. SMALL CAPITALIZATION FUND SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- SEPTEMBER 30, 2003 (UNAUDITED) --------------------------------------------------------------------------------
SHARES VALUE ----------- ------------ COMMON STOCKS (CONTINUED) HOUSEHOLD -- 3.7% 22,300 A.T. Cross Co., Class A*... $ 133,800 178,400 Acuity Brands, Inc. ....... 3,221,904 15,400 American Biltrite, Inc. ... 104,720 15,400 American Locker Group, Inc.*.................... 185,277 3,300 Applica, Inc. ............. 19,965 4,300 Atlantis Plastics, Inc., Class A*................. 30,788 53,600 Bassett Furniture Industries, Inc. ........ 726,280 16,400 Brass Eagle, Inc.*......... 136,284 26,500 Bush Industries, Inc. ..... 126,140 462,800 Callaway Golf Co. ......... 6,604,156 131,948 Central Garden & Pet Co.*..................... 3,446,482 5,000 Chase Corp. ............... 62,750 13,300 Chromcraft Revington, Inc.*.................... 164,255 150 Deswell Industries, Inc. .................... 3,153 1,900 EXX, Inc., Class A*........ 7,980 15,800 Flexsteel Industries, Inc. .................... 287,781 112,650 Fossil, Inc.*.............. 2,729,510 65,200 Genlyte Group, Inc.*....... 2,902,704 3,300 Global-Tech Appliances, Inc.*.................... 22,935 107,200 Helen of Troy, Ltd.*....... 2,596,384 12,500 Johnson Outdoors, Inc., Class A*................. 162,013 2,102 Juno Lighting, Inc.*....... 29,428 16,100 K2, Inc.*.................. 239,085 213,500 Kimball International, Inc., Class B............ 3,129,910 1,490 Knape & Vogt Manufacturing Co. ..................... 16,390 99 Mity Enterprises, Inc.*.... 1,267 61,900 Movado Group, Inc. ........ 1,355,610 2,700 National Presto Industries, Inc. .................... 92,718 7,100 Ohio Art Co. .............. 72,775 20,600 Patrick Industries, Inc. .................... 139,874 71,400 Russ Berrie & Co., Inc. ... 2,405,466 2,700 Summa Industries*.......... 19,602 930 Variflex, Inc.*............ 5,924 120,800 West Pharmaceutical Services, Inc. .......... 3,782,248 ------------ 34,965,558 ------------ INSTRUMENTS -- 6.8% 187,200 Alaris Medical Systems, Inc.*.................... 3,107,520 166,295 Align Technology, Inc.*.... 2,080,350 3,700 American Shared Hospital Services................. 19,536 12,000 Astro-Med, Inc. ........... 123,012 12,305 Atrion Corp. .............. 556,186 1,900 Badger Meter, Inc. ........ 60,971 4,700 Bio-Logic Systems Corp.*... 23,923 74,400 Bio-Rad Laboratories, Inc., Class A*................. 3,794,400 12,373 Biosite, Inc.*............. 351,146 54,335 Candela Corp.*............. 693,315 329,800 Checkpoint Systems, Inc.*.................... 5,210,840 64,300 Coherent, Inc.*............ 1,583,709 98,470 Compex Technologies, Inc.*.................... 741,578 199,000 CONMED Corp.*.............. 4,107,360 51 Cyberonics, Inc.*.......... 1,574 99,800 Datascope Corp. ........... 3,067,852
SHARES VALUE ----------- ------------ COMMON STOCKS (CONTINUED) INSTRUMENTS (CONTINUED) 94,400 DJ Orthopedics, Inc.*...... $ 1,316,880 3,700 Inamed Corp.*.............. 271,765 183,500 Invacare Corp. ............ 6,895,929 44,103 Invivo Corp.*.............. 691,976 12,100 Isco, Inc. ................ 107,085 26,100 K-Tron International, Inc.*.................... 443,700 18,600 Kewaunee Scientific Corp. ................... 181,164 100 LeCroy Corp.*.............. 1,603 38,650 Medstone International, Inc.*.................... 156,146 179,273 Mentor Corp. .............. 4,087,424 1,400 Mesa Laboratories, Inc.*... 12,614 68,400 Mine Safety Appliances Co. ..................... 3,736,008 5,000 MTS Systems Corp. ......... 76,100 32,000 Napco Security Systems, Inc.*.................... 278,944 45,219 New Brunswick Scientific Co., Inc.*............... 197,607 11,389 O.I. Corp.*................ 65,487 3,100 Ocular Sciences, Inc.*..... 69,068 600 Orthofix International N.V.*.................... 21,960 10,200 Perceptron, Inc.*.......... 55,080 37,000 Quidel Corp.*.............. 248,270 216,200 Sola International, Inc.*.................... 3,459,200 27,300 Span-America Medical Systems, Inc. ........... 253,890 326,019 Thoratec Corp.*............ 5,539,063 171,138 Trimble Navigation, Ltd.*.................... 3,961,845 47,200 Utah Medical Products, Inc.*.................... 1,168,200 301,700 Viasys Healthcare, Inc.*... 6,094,339 ------------ 64,914,619 ------------ INSURANCE -- 4.4% 71,800 American Medical Security Group, Inc.*............. 1,458,258 97,753 American Physicians Capital, Inc.*........... 2,715,578 39,700 AmerUs Group Co. .......... 1,349,800 600 Arch Capital Group, Ltd.*.................... 19,806 2,500 Bancinsurance Corp.*....... 16,250 67,000 Commerce Group, Inc. ...... 2,543,320 17,500 Crawford & Co., Class B.... 122,850 52,500 Delphi Financial Group, Inc., Class A............ 2,442,300 44,700 FBL Financial Group, Inc., Class A.................. 1,101,408 83,400 FPIC Insurance Group, Inc.*.................... 1,256,838 80,500 Great American Financial Resources, Inc. ......... 1,165,640 80,800 Horace Mann Educators Corp. ................... 1,172,408 15,810 Independence Holding Co. ..................... 343,868 51,930 Kansas City Life Insurance Co. ..................... 2,381,510 101,700 LandAmerica Financial Group, Inc. ............. 4,661,928 288,212 Max Re Capital, Ltd. ...... 4,902,486 400 Merchants Group, Inc. ..... 8,300 25,937 Midland Co. ............... 552,458 17,600 National Security Group, Inc. .................... 277,200 15,200 National Western Life Insurance Co., Class A*....................... 2,087,872 3,400 NYMAGIC, Inc. ............. 76,262
See accompanying notes to the financial statements. 24 AXA ROSENBERG U.S. SMALL CAPITALIZATION FUND SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- SEPTEMBER 30, 2003 (UNAUDITED) --------------------------------------------------------------------------------
SHARES VALUE ----------- ------------ COMMON STOCKS (CONTINUED) INSURANCE (CONTINUED) 128,751 Ohio Casualty Corp.*....... $ 1,866,890 136,100 PMA Capital Corp., Class A........................ 1,705,333 68,600 PXRE Group, Ltd. .......... 1,231,370 1,100 Reinsurance Group of America, Inc. ........... 44,825 5,000 RLI Corp. ................. 164,600 86,400 SCPIE Holdings, Inc. ...... 864,000 51,034 Selective Insurance Group, Inc. .................... 1,518,772 115,100 Stewart Information Services Corp.*.......... 3,250,424 65,800 Trover Solutions, Inc.*.... 464,416 12,675 United Fire & Casualty Co. ..................... 463,398 370 Wesco Financial Corp. ..... 125,789 ------------ 42,356,157 ------------ IT HARDWARE -- 5.1% 400 Actel Corp.*............... 9,588 2,700 Ade Corp.*................. 47,439 24,812 ADTRAN, Inc. .............. 1,517,998 3,500 Allen Organ Co., Class B... 150,920 14,100 Amtech Systems, Inc.*...... 75,435 116,900 Andrew Corp.*.............. 1,436,701 48,241 Artisan Components, Inc.*.................... 810,931 50,300 Benchmark Electronics, Inc.*.................... 2,126,181 100 Bogen Communications International, Inc.*..... 416 5,800 Catalyst Semiconductor, Inc.*.................... 31,320 51,000 Cobra Electronics Corp.*... 348,840 109,342 Comtech Telecommunications Corp.*................... 2,614,367 58,141 Daktronics, Inc.*.......... 930,837 39,920 Digi International, Inc.*.................... 264,230 51,807 Diodes, Inc.*.............. 1,066,706 10,500 Endwave Corp.*............. 59,640 8,800 Espey Mfg. & Electronics Corp. ................... 201,960 176,731 Hutchinson Technology, Inc.*.................... 5,849,796 200 Imation Corp. ............. 6,530 231,023 MEMC Electronic Materials, Inc.*.................... 2,520,461 8,700 Merrimac Industries, Inc.*.................... 39,150 380,500 Mykrolis Corp.*............ 4,619,270 18,700 Network Equipment Technologies, Inc.*...... 171,105 1,577 Nortech Systems, Inc.*..... 11,403 200 OmniVision Technologies, Inc.*.................... 8,448 9,250 Orbit International Corp.*................... 65,213 49,300 Peak International, Ltd.*.................... 268,192 293,900 Photronics, Inc.*.......... 6,248,315 72,345 Sparton Corp.*............. 763,240 146,147 Standard Microsystems Corp.*................... 3,943,046 3,800 Trident Microsystems, Inc.*.................... 49,400 208,045 Ultratech, Inc.*........... 5,871,030 28,767 Video Display Corp.*....... 268,943 299,954 Zoran Corp.*............... 5,849,103 ------------ 48,246,154 ------------ LIQUOR & TOBACCO -- 0.0% 7,400 Todhunter International, Inc.*.................... 75,110 ------------
SHARES VALUE ----------- ------------ COMMON STOCKS (CONTINUED) MACHINERY -- 4.9% 54,800 Ampco-Pittsburgh Corp. .... $ 657,052 933 BHA Group Holdings, Inc. .................... 22,168 88,474 Cascade Corp. ............. 1,950,852 6,600 Chicago Rivet & Machine Co. ..................... 178,332 35,800 CompX International, Inc. .................... 247,020 900 Eastern Co. ............... 13,194 16,000 ESCO Technologies, Inc.*... 724,320 23,421 Evans & Sutherland Computer Corp.*................... 141,088 10,500 Federal Screw Works........ 353,850 42,600 Flanders Corp.*............ 205,332 39,200 Gehl Co.*.................. 446,488 2,300 Graham Corp. .............. 21,896 89,200 Hardinge, Inc. ............ 736,792 36,100 International Aluminum Corp. ................... 785,536 125,600 Kaydon Corp. .............. 2,981,744 42,280 Key Technology, Inc.*...... 485,374 400 Lancer, Corp.*............. 1,960 321,500 Lennox International, Inc. .................... 4,697,115 90,300 Lifetime Hoan Corp. ....... 944,538 56,400 MagneTek, Inc.*............ 279,180 5,300 Mestek, Inc.*.............. 89,093 80,864 Middleby Corp.*............ 1,492,749 12,000 Minuteman International, Inc. .................... 108,000 12,473 P & F Industries, Inc.*.... 94,171 500 Paul Mueller Co. .......... 20,885 58 Peerless Mfg., Co.*........ 633 7,588 Q.E.P. Co., Inc.*.......... 78,513 17,000 Regal-Beloit Corp. ........ 346,800 93,700 Robbins & Myers, Inc. ..... 2,083,888 44,673 Rofin-Sinar Technologies, Inc.*.................... 937,686 30,700 Sauer-Danfoss, Inc. ....... 432,870 33,200 SL Industries, Inc.*....... 265,268 100,634 SPS Technologies, Inc.*.... 4,528,530 66,900 Standard Motor Products, Inc. .................... 675,690 80,200 Standex International Corp. ................... 1,948,860 4,200 TB Wood's Corp. ........... 33,642 98,200 Tecumseh Products Co., Class B.................. 3,486,100 306,500 Terex Corp.*............... 5,679,445 175,800 Toro Co. .................. 7,911,001 19,100 Twin Disc, Inc. ........... 317,060 47,898 Walter Industries, Inc. ... 513,946 2,800 York International Corp. ................... 96,852 ------------ 47,015,513 ------------ MEDIA -- 1.7% 200 Banta Corp. ............... 7,200 169,800 Bowne & Co., Inc. ......... 2,538,510 1,000 Consolidated Graphics, Inc.*.................... 25,430 900 Daily Journal Corp.*....... 24,093 46,400 Equity Marketing, Inc.*.... 700,594 7,308 Grey Global Group, Inc. ... 5,562,118 43,200 Hearst -- Argyle Television, Inc.*........ 1,045,440 900 Integrity Media, Inc.*..... 3,285 81,300 Media General, Inc., Class A........................ 4,967,430 20,600 Outlook Group Corp. ....... 113,939
See accompanying notes to the financial statements. 25 AXA ROSENBERG U.S. SMALL CAPITALIZATION FUND SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- SEPTEMBER 30, 2003 (UNAUDITED) --------------------------------------------------------------------------------
SHARES VALUE ----------- ------------ COMMON STOCKS (CONTINUED) MEDIA (CONTINUED) 7/8w57,100 Thomas Nelson, Inc.*....... $ 788,551 11,900 Tufco Technologies, Inc.*.................... 76,636 ------------ 15,853,226 ------------ METALS -- 0.9% 155,900 AMCOL International Corp. ................... 1,926,924 58,300 General Cable Corp.*....... 464,068 163,300 Hecla Mining Co.*.......... 855,692 34,300 L.B. Foster Co., Class A*................. 196,539 59,420 Layne Christensen Co.*..... 570,135 18,820 Olympic Steel, Inc.*....... 81,867 68,700 RTI International Metals, Inc.*.................... 722,724 130,200 Ryerson Tull, Inc. ........ 1,015,560 112,300 Southern Peru Copper Corp. ................... 2,484,076 ------------ 8,317,585 ------------ MISCELLANEOUS FINANCIAL -- 0.4% 49,200 Affiliated Managers Group, Inc.*.................... 3,089,760 21,400 First Albany Cos, Inc. .... 272,850 54,500 Maxcor Financial Group, Inc. .................... 746,105 1,100 Stifel Financial Corp.*.... 14,850 2 Tradestation Group, Inc.*.................... 15 ------------ 4,123,580 ------------ OFFICE MACHINERY -- 2.1% 217,600 Avid Technology, Inc.*..... 11,497,983 34,800 Ciprico, Inc.*............. 174,000 34,620 Interphase Corp.*.......... 314,350 370,200 Iomega Corp.*.............. 4,124,028 26,550 Metrologic Instruments, Inc.*.................... 955,535 41,700 PAR Technology Corp.*...... 277,305 30,700 Printronix, Inc.*.......... 406,775 42,356 Stratasys, Inc.*........... 1,805,213 23,037 X-Rite, Inc. .............. 260,779 ------------ 19,815,968 ------------ OIL -- 2.4% 77,100 Arch Coal, Inc. ........... 1,712,391 3,400 Barnwell Industries, Inc.*.................... 84,320 9,058 Brigham Exploration Co.*... 61,594 52,939 Castle Energy Corp. ....... 280,047 40,725 Clayton Williams Energy, Inc.*.................... 767,666 149,700 Comstock Resources, Inc.*.................... 1,999,992 139,700 Denbury Resources, Inc.*... 1,726,692 16,500 Dominion Resources Black Warrior Trust............ 452,925 23,600 Edge Petroleum Corp.*...... 155,264 194,600 Energy Partners, Ltd.*..... 2,163,952 1,000 Houston Exploration Co.*... 35,100 17,400 Hugoton Royalty Trust...... 326,076 407,400 KCS Energy, Inc.*.......... 2,770,320 155,962 Patina Oil & Gas Corp. .... 5,652,064 66,500 Penn Virginia Corp. ....... 2,939,300 28,000 PetroCorp, Inc.*........... 376,880 6,600 Prime Energy, Inc.*........ 68,647 44,500 Stone Energy Corp.*........ 1,569,960 22,400 Vintage Petroleum, Inc. ... 243,712 ------------ 23,386,902 ------------
SHARES VALUE ----------- ------------ COMMON STOCKS (CONTINUED) OIL DISTRIBUTION -- 0.1% 3,200 Adams Resources & Energy, Inc. .................... $ 32,160 2,300 Petroleum Development Corp.*................... 27,554 216,900 TransMontaigne, Inc.*...... 1,292,724 ------------ 1,352,438 ------------ OIL SERVICES -- 1.1% 3,100 Dawson Geophysical Co.*.... 21,359 8,500 Lufkin Industries, Inc. ... 204,000 42,100 NATCO Group, Inc., Class A*................. 260,178 186,200 Oil States International, Inc.*.................... 2,362,878 156,800 Resource America, Inc., Class A.................. 1,862,784 238,250 TETRA Technologies, Inc.*.................... 4,912,715 117,400 Torch Offshore, Inc.*...... 680,920 ------------ 10,304,834 ------------ OTHER UTILITIES -- 0.3% 100 Delta Natural Gas Co., Inc. .................... 2,301 13,374 Duratek, Inc.*............. 119,296 2,438 Energy West, Inc. ......... 16,822 1,300 Florida Public Utilities Co. ..................... 20,007 4,600 Northwest Natural Gas Co. ..................... 133,400 2,500 RGC Resources, Inc. ....... 56,900 500 SJW Corp. ................. 42,250 51,100 South Jersey Industries, Inc. .................... 1,934,135 53,000 Southern Union Co.*........ 901,000 500 Waste Industries USA, Inc.*.................... 4,480 ------------ 3,230,591 ------------ PAPER -- 0.9% 100 Carmel Container Systems, Ltd.*.................... 345 7,500 Chesapeake Corp. .......... 169,050 26,700 CSS Industries, Inc. ...... 687,525 2,300 DSG International, Ltd. ... 17,618 210,100 Louisiana-Pacific Corp.*... 2,895,178 30,700 Nashua Corp.*.............. 244,065 184,530 Universal Forest Products, Inc. .................... 4,478,543 29,400 Wausau-Mosinee Paper Corp. ................... 358,974 ------------ 8,851,298 ------------ REAL ESTATE DEVELOPMENT -- 1.1% 2,300 American Safety Insurance Group, Ltd. ............. 28,405 41,200 AMREP Corp. ............... 619,648 28,809 Avatar Holdings, Inc.*..... 921,312 81,600 Bluegreen Corp.*........... 473,280 3,200 ILX Resorts, Inc. ......... 24,000 16,900 J.W. Mays, Inc.*........... 222,404 900 Patriot Transportation Holding, Inc.*........... 26,190 36 Stratus Properties, Inc.*.................... 353 80,769 Tarragon Realty Investors, Inc.*.................... 1,231,727 520,700 Trizec Properties, Inc. ... 6,383,782 5,400 United Capital Corp. ...... 97,200 ------------ 10,028,301 ------------
See accompanying notes to the financial statements. 26 AXA ROSENBERG U.S. SMALL CAPITALIZATION FUND SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- SEPTEMBER 30, 2003 (UNAUDITED) --------------------------------------------------------------------------------
SHARES VALUE ----------- ------------ COMMON STOCKS (CONTINUED) 3/4w REAL ESTATE INVESTMENT TRUSTS -- 4.7% 61,900 Amli Residential Properties Trust.................... $ 1,621,780 4,000 Bedford Property Investors, Inc. .................... 103,800 59,300 Boykin Lodging Co. ........ 488,632 217,900 Brandywine Realty Trust.... 5,597,851 16,560 CBL & Associates Properties, Inc. ........ 826,344 145,400 Corporate Office Properties Trust.................... 2,691,354 193,000 Cousins Properties, Inc. .................... 5,355,750 3,100 ElderTrust................. 30,535 9,100 Glenborough Realty Trust, Inc. .................... 171,626 40,000 Hanover Capital Mortgage Holdings, Inc. .......... 422,000 600 Hersha Hospitality Trust... 5,460 355,300 HRPT Properties Trust...... 3,247,442 209,100 Keystone Property Trust.... 4,236,366 165,100 Koger Equity, Inc. ........ 3,103,880 92,300 LTC Properties, Inc. ...... 1,068,834 12,400 Mid-America Apartment Communities, Inc. ....... 374,232 34,000 Middleton Doll Co. ........ 183,600 13,000 Mission West Properties, Inc. .................... 160,680 97,100 Novastar Financial, Inc. .................... 5,580,337 17,100 One Liberty Properties, Inc. .................... 317,205 50,000 Parkway Properties, Inc. .................... 2,185,000 26,900 Pennsylvania Real Estate Investment Trust......... 899,805 130,299 Prentiss Properties Trust.................... 4,039,269 11,800 Presidential Realty Corp., Class B.................. 94,400 29,500 Senior Housing Properties Trust.................... 425,095 43,900 SL Green Realty Corp. ..... 1,585,229 37,000 Winston Hotels, Inc. ...... 336,700 ------------ 45,153,206 ------------ RETAIL -- 6.2% 61,746 1-800 CONTACTS, Inc.*...... 1,246,034 218,200 1-800-FLOWERS.COM, Inc., Class A*................. 1,640,864 20,511 America's Car-Mart, Inc.*.................... 614,304 41,100 Blair Corp. ............... 854,880 42,800 Bombay Co., Inc.*.......... 421,580 1,700 Bon-Ton Stores, Inc. ...... 16,915 21,710 Books-A-Million, Inc.*..... 89,554 88,149 Brookstone, Inc.*.......... 1,747,995 165,900 Brown Shoe Co., Inc. ...... 5,259,030 220,900 Burlington Coat Factory Warehouse Corp. ......... 4,130,830 42,800 Cash America International, Inc. .................... 701,920 24,400 Cato Corp., Class A........ 492,148 35,158 Charming Shoppes, Inc.*.... 200,752 11,000 Chico's FAS, Inc.*......... 337,040 66,472 Chronimed, Inc.*........... 606,889 1,400 Excelligence Learning Corp.*................... 7,000 69,100 EZCORP, Inc.*.............. 420,128 3,100 Finish Line, Inc., Class A*................. 81,530
SHARES VALUE ----------- ------------ COMMON STOCKS (CONTINUED) RETAIL (CONTINUED) 7,800 Foodarama Supermarkets, Inc.*.................... $ 191,178 21,950 Fresh Brands, Inc. ........ 299,618 68,915 Friedman's, Inc., Class A.................. 961,364 97,854 Goody's Family Clothing, Inc. .................... 964,840 81,858 GSI Commerce, Inc.*........ 816,943 31,958 Hastings Entertainment, Inc.*.................... 124,636 4,700 Haverty Furniture Cos, Inc. .................... 85,916 162,699 Insight Enterprises, Inc.*.................... 2,476,279 54,900 InterTAN, Inc.*............ 502,335 28 Jos. A. Bank Clothiers, Inc.*.................... 1,231 254,900 Linens 'n Things, Inc.*.... 6,061,523 178,000 Longs Drug Stores Corp. ... 3,583,140 768 Matria Healthcare, Inc.*... 13,256 241,955 Pacific Sunwear of California, Inc.*........ 4,998,790 10,100 PC Mall, Inc.*............. 105,545 174,900 Ruddick Corp. ............. 2,717,946 6,000 Rush Enterprises, Inc., Class A*................. 40,200 11,800 Rush Enterprises, Inc., Class B*................. 79,060 14,000 S&K Famous Brands, Inc.*... 238,700 182,200 ShopKo Stores, Inc.*....... 2,733,000 29,800 Sport Chalet, Inc.*........ 220,520 80,043 Stage Stores, Inc.*........ 2,039,496 40,000 Syms Corp.*................ 261,600 12,400 Systemax, Inc.*............ 82,336 177,000 Tractor Supply Co.*........ 5,807,370 169,900 Trans World Entertainment Corp.*................... 959,935 22,200 Village Super Market, Inc. .................... 600,310 30,500 Weis Markets, Inc. ........ 1,037,305 2,100 West Marine, Inc.*......... 40,005 300 Wolohan Lumber Co. ........ 7,650 61,400 Zale Corp.*................ 2,726,774 ------------ 59,648,194 ------------ SERVICES -- 6.6% 200 Ablest, Inc.*.............. 1,090 17,300 Almost Family, Inc.*....... 140,476 4,885 Ambassadors Groups, Inc.*.................... 83,094 43,400 Angelica Corp. ............ 824,600 83,600 CDI Corp. ................. 2,259,708 128,900 Cornell Cos., Inc.*........ 2,120,405 400 CPI Corp. ................. 7,360 18,200 Discovery Partners International*........... 107,744 3,900 Ecology & Environment, Inc. .................... 40,950 52,600 Exponent, Inc.*............ 914,714 14,800 Gevity HR, Inc. ........... 217,264 67,435 Healthcare Services Group, Inc. .................... 1,112,678 41,100 Horizon Health Corp.*...... 807,615 132,000 IMCO Recycling, Inc.*...... 811,800 14,300 Imperial Parking Corp.*.... 301,730 153,704 Kelly Services, Inc., Class A.................. 3,833,378 176,894 Kroll, Inc.*............... 3,290,228 2,300 Mac-Gray Corp.*............ 10,695 111,800 Metal Management, Inc.*.... 2,180,100 25,400 Modem Media, Inc.*......... 127,000
See accompanying notes to the financial statements. 27 AXA ROSENBERG U.S. SMALL CAPITALIZATION FUND SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- SEPTEMBER 30, 2003 (UNAUDITED) --------------------------------------------------------------------------------
SHARES VALUE ----------- ------------ COMMON STOCKS (CONTINUED) SERVICES (CONTINUED) 3/4w7,700 Monro Muffler Brake, Inc.*.................... $ 227,920 802,500 MPS Group, Inc.*........... 7,222,500 76,700 Navigant International, Inc.*.................... 1,074,567 167,650 NCO Group, Inc.*........... 3,934,746 30,600 Opinion Research Corp.*.... 186,660 218,492 PARXEL International Corp.*................... 3,347,297 90,000 Pre-Paid Legal Services, Inc.*.................... 2,107,800 2,300 RCM Technologies, Inc.*.... 11,132 38,700 ResortQuest International, Inc.*.................... 255,420 132,400 Schnitzer Steel Industries, Inc., Class A............ 3,975,972 1,400 Security Capital Corp., Class A*................. 9,240 30,701 Security National Financial Corp., Class A*.......... 190,038 15,600 SOURCECORP, Inc.*.......... 362,700 77,700 StarTek, Inc. ............. 2,486,400 24,354 Steiner Leisure, Ltd.*..... 466,623 298,600 Sylvan Learning Systems, Inc.*.................... 8,145,807 96,013 Tetra Tech, Inc.*.......... 1,911,619 54,050 University of Phoenix Online*.................. 3,598,649 600,009 US Oncology, Inc.*......... 4,386,066 13,700 Volt Information Sciences, Inc.*.................... 226,050 ------------ 63,319,835 ------------ SOAPS & COSMETICS -- 0.2% 39,200 Cascade International, Inc. (b)*................ 0 41,700 CPAC, Inc. ................ 253,953 46,000 Del Laboratories, Inc.*.... 1,299,500 13,800 Inter Parfums, Inc. ....... 138,000 ------------ 1,691,453 ------------ SOFTWARE -- 8.1% 132,685 American Management Systems, Inc.*........... 1,691,734 83,200 American Software, Inc., Class A.................. 401,024 412,061 Ascential Software Corp.*................... 7,635,490 39,841 Black Box Corp. ........... 1,586,070 29,700 Captiva Software Corp.*.... 222,453 288,600 CIBER, Inc.*............... 2,193,360 54,860 Concerto Software, Inc.*... 466,310 53,400 Covansys Corp.*............ 324,672 50,500 Dendrite International, Inc.*.................... 767,095 30,440 Digital River, Inc.*....... 832,534 118,600 Edgewater Technology, Inc.*.................... 616,720 493,078 eFunds Corp.*.............. 6,089,513 136,986 Epicor Software Corp.*..... 1,224,655 205,323 eResearch Technology, Inc.*.................... 7,151,400 208,446 FileNet Corp.*............. 4,183,511 33,362 Group 1 Software, Inc.*.... 599,515 203,898 Hyperion Solutions Corp.*................... 5,886,535 195,237 IDX Systems Corp.*......... 4,513,879 5,516 infoUSA, Inc.*............. 41,425 2,900 InsWeb Corp.*.............. 14,500 12 Kronos, Inc.*.............. 635 134,732 Lightbridge, Inc.*......... 1,270,523 41,650 Manatron, Inc.*............ 279,888 464,600 Mentor Graphics Corp.*..... 8,144,437
SHARES VALUE ----------- ------------ COMMON STOCKS (CONTINUED) SOFTWARE (CONTINUED) 1,500 Mobius Management Systems, Inc.*.................... $ 12,030 16,483 NWH, Inc. ................. 319,276 101,300 Progress Software Corp.*... 2,177,950 17,611 QAD, Inc.*................. 193,017 54,100 Radica Games, Ltd.*........ 378,700 7,700 Rogue Wave Software, Inc.*.................... 31,709 387,225 RSA Security, Inc.*........ 5,529,573 28,200 Source Interlink Cos, Inc.*.................... 265,080 131,517 SPSS, Inc.*................ 2,218,692 75,009 SS&C Technologies, Inc. ... 1,499,430 292,400 Sybase, Inc.*.............. 4,973,724 10,700 Sykes Enterprises, Inc.*... 70,834 342,300 Systems & Computer Technology Corp.*........ 3,570,189 39,000 TSR, Inc. ................. 280,800 4,000 ValueClick, Inc.*.......... 33,640 ------------ 77,692,522 ------------ TELEPHONE -- 0.6% 91 Alaska Communications Systems Group, Inc.*..... 411 26,100 Atlantic Tele-Network, Inc. .................... 552,015 2,500 D&E Communication, Inc. ... 35,450 78,485 Earthlink, Inc.*........... 645,932 120,246 Golden Telecom, Inc.*...... 3,287,525 9,500 Hector Communications, Inc.*.................... 124,070 12,841 MarketWatch.com, Inc.*..... 107,364 13,900 New Frontier Media, Inc.*.................... 52,820 47,300 Playboy Enterprises, Inc., Class A*................. 636,658 ------------ 5,442,245 ------------ TEXTILES -- 2.8% 17,440 Albany International Corp., Class A.................. 537,850 5,872 Ashworth, Inc.*............ 40,693 74,600 Deckers Outdoor Corp.*..... 746,000 16,600 Delta Apparel, Inc. ....... 250,660 25,500 Haggar Corp. .............. 393,975 2,200 Hallwood Group, Inc.*...... 41,118 39,800 Hampshire Group, Ltd.*..... 1,267,232 48,300 Kellwood Co. .............. 1,615,635 16,753 Lakeland Industries, Inc.*.................... 198,858 26,300 McRae Industries, Inc., Class A.................. 209,085 33,300 Oxford Industries, Inc. ... 2,137,860 317,400 Phillips-Van Heusen Corp. ................... 4,764,174 16,600 Phoenix Footwear Group, Inc.*.................... 98,936 2,000 Quiksilver, Inc.*.......... 31,900 100 Rocky Shoes & Boots, Inc.*.................... 1,135 181,100 Russell Corp. ............. 2,951,930 12,620 Saucony, Inc., Class A..... 174,156 14,418 Steven Madden, Ltd.*....... 273,509 384,300 Stride Rite Corp. ......... 4,150,440 2,600 Superior Uniform Group, Inc. .................... 35,724 533,100 Tommy Hilfiger Corp.*...... 6,349,221 ------------ 26,270,091 ------------ TRANSPORTATION -- 3.3% 53,900 Alexander & Baldwin, Inc. .................... 1,513,512
See accompanying notes to the financial statements. 28 AXA ROSENBERG U.S. SMALL CAPITALIZATION FUND SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- SEPTEMBER 30, 2003 (UNAUDITED) --------------------------------------------------------------------------------
SHARES VALUE ----------- ------------ COMMON STOCKS (CONTINUED) TRANSPORTATION (CONTINUED) 600 Boyd Brothers Transportation, Inc.*.... $ 3,384
See accompanying notes to the financial statements. 29 AXA ROSENBERG U.S. SMALL CAPITALIZATION FUND SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- SEPTEMBER 30, 2003 (UNAUDITED) --------------------------------------------------------------------------------
SHARES VALUE ----------- ------------ COMMON STOCKS (CONTINUED) TRANSPORTATION (CONTINUED) 3/4w16,000 C2, Inc.*.................. $ 185,440 70,288 Celadon Group, Inc.*....... 903,201 56 Covenant Transport, Inc., Class A*................. 1,030 3,600 Dynamex, Inc.*............. 32,436 303,955 EGL, Inc.*................. 5,525,902 232,300 Frontline, Ltd. ........... 3,891,025 346,600 General Maritime Corp.*.... 3,965,104 3,900 Hub Group, Inc., Class A*................. 42,510 1,507 Landstar System, Inc.*..... 91,957 5,600 Maritrans, Inc. ........... 84,000 5,025 Marten Transport, Ltd.*.... 131,153 3,500 Nordic American Tanker Shipping, Ltd. .......... 48,300 27,200 Old Dominion Freight Line, Inc.*.................... 791,248 226,200 Overseas Shipholding Group, Inc. .................... 5,847,269 39,900 Sea Containers, Ltd., Class A.................. 582,939 66,600 U.S. Xpress Enterprises, Inc., Class A*........... 815,850 76,229 USA Truck, Inc.*........... 892,642 32,904 USF Corp. ................. 1,035,489 165,420 Yellow Corp.*.............. 4,942,750 ------------ 31,327,141 ------------ TRAVEL & ENTERTAINMENT -- 2.8% 61,800 AMC Entertainment, Inc.*... 828,120 31,080 Ark Restaurants Corp.*..... 313,908 86,780 Aztar Corp.*............... 1,536,874 142,900 Bally Total Fitness Holding Corp.*................... 1,236,085 17,700 Bob Evans Farms, Inc. ..... 472,767 103,507 Checkers Drive-In Restaurants, Inc. *...... 952,264 139,700 Dave & Buster's, Inc.*..... 1,438,910 14,200 Frisch's Restaurants, Inc. .................... 344,776 35,900 Garden Fresh Restaurant Corp.*................... 571,169 43,300 Gaylord Entertainment Co.*..................... 1,063,015 3,500 J. Alexander's Corp.*...... 16,835 80,500 Kerzner International, Ltd.*.................... 2,864,190 2,013 Lakes Entertainment, Inc.*.................... 18,499 149,300 Landry's Restaurants, Inc. .................... 3,075,580 150,800 Lone Star Steakhouse & Saloon, Inc. ............ 3,151,720 13,400 Marcus Corp. .............. 204,484 7,100 Max & Erma's Restaurants, Inc.*.................... 122,333 147,862 Movie Gallery, Inc.*....... 2,905,488 300 Nathan's Famous, Inc.*..... 1,299 57,180 Rare Hospitality International, Inc.*..... 1,424,354 139,150 Ryan's Family Steak Houses, Inc.*.................... 1,779,729
SHARES VALUE ----------- ------------ COMMON STOCKS (CONTINUED) TRAVEL & ENTERTAINMENT (CONTINUED) 1,000 Smith & Wollensky Restaurant Group, Inc.*.................... $ 5,990 39,100 Sonesta International Hotels Corp., Class A.... 187,289 140,900 Vail Resorts, Inc.*........ 2,014,870 3,600 WestCoast Hospitality Corp.*................... 16,560 ------------ 26,547,108 ------------ WHOLESALE -- 1.8% 3,375 Aceto Corp. ............... 47,250 2,000 AMCON Distributing Co. .... 9,200 2,800 Applied Industrial Technologies, Inc. ...... 55,636 600 Aristotle Corp.*........... 3,060 203,100 Aviall, Inc.*.............. 2,514,378 200 CellStar Corp.*............ 1,582 3,375 Aceto Corp. ............... 47,250 2,000 AMCON Distributing Co. .... 9,200 2,800 Applied Industrial Technologies,............ 55,636 600 Aristotle Corp.*........... 3,060 203,100 Aviall, Inc.*.............. 2,514,378 200 CellStar Corp.*............ 1,582 10,618 Chindex International, Inc.*.................... 201,530 69,700 CompuCom Systems, Inc.*.... 292,740 78,300 Department 56, Inc.*....... 994,410 57,400 Enesco Group, Inc.*........ 459,200 4,000 GTSI Corp.*................ 41,400 143,700 Handleman Co. ............. 2,425,656 29,201 Huffy Corp.*............... 178,126 20,357 Keystone Automotive Industries, Inc.*........ 441,747 8,000 Moore Medical Corp.*....... 46,080 21,900 Noland Co. ................ 747,885 24,775 Pomeroy Computer Resources,............... 314,643 300 PSS World Medical, Inc.*... 2,661 6,700 Richardson Electronics, Ltd. .................... 71,020 273,900 Stewart & Stevenson Services,................ 4,113,978 138,300 United Natural Foods, Inc.*.................... 4,590,176 5,950 Watsco, Inc., Class B...... 113,050 ------------ 17,665,408 ------------ TOTAL COMMON STOCKS........ 940,037,712 ------------ PREFERRED STOCKS -- 0.0% REAL ESTATE INVESTMENT TRUSTS -- 0.0% 4,070 Cornerstone Realty Series B................. 32,886 ------------ TOTAL PREFERRED STOCKS..... 32,886 ------------ RIGHTS -- 0.0% BUILDING -- 0.0% 4,200 Miller Building Systems (b)*..................... 0 ------------ TOTAL RIGHTS............... 0 ------------
See accompanying notes to the financial statements. 29 AXA ROSENBERG U.S. SMALL CAPITALIZATION FUND SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- SEPTEMBER 30, 2003 (UNAUDITED) --------------------------------------------------------------------------------
SHARES OR PRINCIPAL VALUE ----------- ------------ REPURCHASE AGREEMENTS -- 1.9% $17,906,000 State Street Bank dated 9/30/03, due 10/1/03 at 0.15% with a maturity value of $17,906,075 (Fully collateralized by U.S. Treasury Notes)..... $ 17,906,000 ------------ TOTAL REPURCHASE AGREEMENTS............... 17,906,000 ------------ SHORT-TERM SECURITIES HELD AS COLLATERAL FOR SECURITIES LENDING --2.7% 25,684,030 Pool of various U.S. Treasury instruments for AXA Rosenberg U.S. Small Capitalization Fund -- note 2 (Securities Lending)..... 25,684,030 TOTAL SHORT-TERM SECURITIES HELD AS COLLATERAL FOR SECURITIES LENDING....... 25,684,030 ------------ TOTAL INVESTMENTS COST ($807,985,639) (A) -- 103.0%................... 983,660,628 LIABILITIES IN EXCESS OF OTHER ASSETS -- (3.0)%... (28,637,506) ------------ NET ASSETS -- 100.0%....... $955,023,122 ============
--------------- * Non-income producing security. (a) Represents cost for financial reporting purposes, is substantially the same as federal income tax purposes, and differs from value by net unrealized appreciation of securities as follows: Unrealized appreciation............. $ 195,892,574 Unrealized depreciation............. (20,217,585) ------------- Net unrealized appreciation......... $ 175,674,989 =============
(b) Bankrupt security/delisted; fair-valued by Management. See accompanying notes to the financial statements. 30 AXA ROSENBERG U.S. DISCOVERY FUND SCHEDULE OF PORTFOLIO INVESTMENTS -- SEPTEMBER 30, 2003 (UNAUDITED) --------------------------------------------------------------------------------
SHARES VALUE ------- ----------- COMMON STOCKS -- 99.8% AIRCRAFT -- 0.0% 800 CPI Aerostructures, Inc.*....................... $ 7,192 100 Curtiss-Wright Corp. ........................... 7,062 ----------- 14,254 ----------- AIRLINES -- 0.8% 300 Air Methods Corp.*.............................. 2,634 2,600 AirNet Systems, Inc.*........................... 10,452 17,300 AirTran Holdings, Inc.*......................... 289,775 1,000 Alaska Air Group, Inc.*......................... 27,820 3,900 Frontier Airlines, Inc.*........................ 64,194 2,800 MAIR Holdings, Inc.*............................ 19,012 ----------- 413,887 ----------- AUTOS -- 0.1% 300 BorgWarner, Inc. ............................... 20,355 1,900 R&B, Inc.*...................................... 24,472 ----------- 44,827 ----------- BANKS -- 9.5% 300 1st Source Corp. ............................... 5,733 5,700 Advanta Corp., Class A.......................... 62,700 100 Ameriana Bancorp................................ 1,525 2,953 American Home Mortgage Holdings, Inc............ 51,884 1,800 American Residential Investment Trust, Inc.*.... 14,724 900 Auburn National Bancorporation, Inc. ........... 16,290 500 Bancorp Rhode Island, Inc. ..................... 14,180 600 BankUnited Financial Corp., Class A *........... 12,648 326 Berkshire Bancorp, Inc. ........................ 14,018 300 BNCCORP, Inc.*.................................. 4,575 2,200 BSB Bancorp, Inc. .............................. 60,962 200 C&F Financial Corp. ............................ 9,042 700 Capital Bank Corp. ............................. 10,990 900 Capital Crossing Bank*.......................... 31,995 1,400 Capital Trust, Class A.......................... 27,734 200 Carver Bancorp, Inc. ........................... 3,630 242 CB Bancshares, Inc. ............................ 14,823 300 CCF Holding Co. ................................ 6,507 500 Central Federal Corp. .......................... 7,000 315 Central Virginia Bankshares, Inc. .............. 7,859 200 CFS Bancorp, Inc. .............................. 2,784 12,000 Colonial BancGroup, Inc. ....................... 173,280 2,100 Columbia Banking System, Inc. .................. 36,918 200 Community Bank Shares of Indiana, Inc. ......... 3,642 400 Community Financial Corp. ...................... 7,060 1,300 Community West Bancshares*...................... 9,100 4,300 CompuCredit Corp.*.............................. 75,250 200 Cornerstone Bancorp, Inc. ...................... 4,350 200 Corus Bankshares, Inc. ......................... 10,700 400 Cowlitz Bancorp*................................ 3,560 600 Crescent Banking Co. ........................... 18,024 10,300 Doral Financial Corp. .......................... 484,099 242 Elmira Savings Bank, FSB........................ 7,016 1,900 Encore Capital Group, Inc.*..................... 22,230 600 EverTrust Financial Group, Inc. ................ 17,028 1,600 First Citizens BancShares, Inc., Class A........ 169,120 300 First Federal Bancshares of Arkansas, Inc. ..... 11,010
SHARES VALUE ------- ----------- COMMON STOCKS (CONTINUED) BANKS (CONTINUED) 400 First Federal Bankshares, Inc. ................. $ 8,840 300 First Keystone Financial, Inc. ................. 7,950 100 First Mariner Bancorp*.......................... 1,748 150 First Oak Brook Bancshares, Inc. ............... 3,735 900 First Place Financial Corp. .................... 15,975 1,600 FirstFed America Bancorp, Inc. ................. 35,360 500 FirstFed Financial Corp.*....................... 19,750 8,200 Flagstar Bancorp, Inc. ......................... 188,190 300 FMS Financial Corp. ............................ 5,025 200 FSF Financial Corp. ............................ 6,158 410 GLB Bancorp, Inc. .............................. 6,806 800 Gold Banc Corp., Inc. .......................... 9,704 200 Greater Atlantic Financial Corp.*............... 1,590 400 GS Financial Corp. ............................. 7,692 300 Habersham Bancorp............................... 6,153 300 Hemlock Federal Financial Corp. ................ 9,330 400 HF Financial Corp. ............................. 7,100 500 Hibernia Corp., Class A......................... 10,130 1,200 HMN Financial, Inc. ............................ 25,800 500 Horizon Bancorp................................. 17,875 300 Hudson River Bancorp, Inc. ..................... 9,639 10,600 Independence Community Bank Corp. .............. 370,257 3,375 International Bancshares Corp. ................. 139,894 800 Intervest Bancshares Corp.*..................... 10,360 1,800 Irwin Financial Corp. .......................... 43,740 200 Jacksonville Bancorp, Inc. ..................... 7,452 300 Kankakee Bancorp, Inc. ......................... 15,525 500 Klamath First Bancorp, Inc. .................... 10,825 2,300 Local Financial Corp.*.......................... 41,147 300 LSB Financial Corp. ............................ 7,350 600 MAF Bancorp, Inc. .............................. 22,920 300 Matrix Bancorp, Inc.*........................... 2,721 900 MB Financial, Inc. ............................. 39,960 400 MidWestOne Financial Group, Inc. ............... 7,188 400 Mystic Financial, Inc. ......................... 9,520 200 National Bankshares............................. 8,718 560 National Mercantile Bancorp*.................... 4,066 1,800 New Century Financial Corp. .................... 50,976 500 New Hampshire Thrift Bancshares, Inc. .......... 12,960 400 Northeast Indiana Bancorp, Inc. ................ 7,516 800 Northeast Pennsylvania Financial Corp. ......... 14,000 900 Northrim Bancorp, Inc. ......................... 16,605 300 Northway Financial, Inc. ....................... 8,943 300 Oregon Trail Financial Corp. ................... 7,512 1,175 Oriental Financial Group, Inc. ................. 28,506 1,200 Pacific Mercantile Bancorp*..................... 11,640 300 Park Bancorp, Inc. ............................. 8,400 200 Pelican Financial, Inc. ........................ 2,132 1,200 Peoples BancTrust Co., Inc. .................... 17,473 3,640 PFF Bancorp, Inc. .............................. 116,043 400 Pittsburgh Financial Corp. ..................... 7,796 1,000 Pocahontas Bancorp, Inc. ....................... 13,040 600 Provident Bankshares Corp. ..................... 16,950 4,900 Provident Financial Group, Inc. ................ 137,004 1,100 PSB Bancorp, Inc.*.............................. 9,130 4,400 R & G Financial Corp., Class B.................. 128,480 700 Republic First Bancorp, Inc.*................... 8,260 2,200 Riggs National Corp. ........................... 34,650
See accompanying notes to the financial statements. 31 AXA ROSENBERG U.S. DISCOVERY FUND SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- SEPTEMBER 30, 2003 (UNAUDITED) --------------------------------------------------------------------------------
SHARES VALUE ------- ----------- COMMON STOCKS (CONTINUED) BANKS (CONTINUED) 300 River Valley Bancorp............................ $ 12,078 7,000 Saxon Capital, Inc.*............................ 119,980 1,100 St. Francis Capital Corp. ...................... 32,384 9,800 Staten Island Bancorp, Inc. .................... 190,610 500 Sterling Financial Corp.*....................... 14,075 400 Team Financial, Inc. ........................... 4,484 500 TF Financial Corp. ............................. 15,765 750 The Washington Savings Bank, F.S.B.............. 7,013 200 Thistle Group Holdings Co. ..................... 5,150 900 Timberland Bancorp, Inc. ....................... 21,510 5,600 UCBH Holdings, Inc. ............................ 169,288 9,600 UICI*........................................... 120,384 300 Union Community Bancorp......................... 5,295 900 UnionBancorp, Inc. ............................. 18,738 450 United Financial Corp. ......................... 10,350 1,600 United PanAm Financial Corp.*................... 27,856 210 Unity Bancorp, Inc.*............................ 2,352 1,100 Wainwright Bank & Trust Co. .................... 12,451 6,500 Washington Federal, Inc. ....................... 163,865 8,085 Waypoint Financial Corp. ....................... 161,700 200 Wells Financial Corp. .......................... 5,374 3,200 Westcorp........................................ 111,840 400 Western Ohio Financial Corp. ................... 11,200 1,100 WFS Financial, Inc.*............................ 40,733 3,400 Wilshire Financial Services Group, Inc.*........ 15,776 1,800 WSFS Financial Corp. ........................... 75,960 600 WVS Financial Corp. ............................ 10,260 ----------- 4,624,670 ----------- BIOTECHNOLOGY -- 1.7% 1,900 Celgene Corp.*.................................. 82,327 1,500 Harvard Bioscience, Inc.*....................... 11,130 10,100 Invitrogen Corp.*............................... 585,699 9,600 Nabi Biopharmaceuticals, Inc.*.................. 80,928 14,900 Savient Pharmaceuticals, Inc.*.................. 75,245 ----------- 835,329 ----------- BUILDING -- 2.6% 400 Advanced Medical Optics, Inc.*.................. 7,184 3,800 Beazer Homes USA, Inc.*......................... 320,720 500 Captital Pacific Holdings, Inc.*................ 2,200 3,000 Coachmen Industries, Inc. ...................... 35,130 700 Dominion Homes, Inc.*........................... 18,011 3,800 Hovnanian Enterprises, Inc., Class A*........... 244,606 4,100 KB HOME......................................... 244,606 1,900 M.D.C. Holdings, Inc. .......................... 102,600 1,400 M/I Schottenstein Homes, Inc. .................. 55,538 300 Matrix Service Co.*............................. 5,328 600 Meritage Corp.*................................. 28,350 1,700 Modtech Holdings, Inc.*......................... 13,498 300 Orleans Homebuilders, Inc.*..................... 3,546 4,900 Perini Corp.*................................... 33,614 200 Pulte Homes, Inc. .............................. 13,602 2,200 Ryland Group, Inc. ............................. 160,842 300 Technical Olympic USA, Inc.*.................... 8,250 ----------- 1,297,625 -----------
SHARES VALUE ------- ----------- COMMON STOCKS (CONTINUED) CELLULAR -- 1.2% 8,800 Telephone and Data Systems, Inc. ............... $ 497,552 2,900 United States Cellular Corp.*................... 84,390 ----------- 581,942 ----------- CHEMICALS -- 1.7% 300 American Pacific Corp.*......................... 2,544 800 Bairnco Corp. .................................. 5,576 9,200 Cytec Industries, Inc.*......................... 335,800 1,200 Esterline Technologies Corp.*................... 23,148 4,800 Great Lakes Chemical Corp. ..................... 96,528 11,100 Hercules, Inc.*................................. 125,763 4,500 Minerals Technologies, Inc. .................... 229,050 600 Stepan Co. ..................................... 13,668 400 Synalloy Corp.*................................. 2,372 ----------- 834,449 ----------- COMPUTER -- 0.3% 13,700 Cray, Inc.*..................................... 150,426 2,600 SteelCloud, Inc.*............................... 11,700 ----------- 162,126 ----------- CONSTRUCTION MATERIALS -- 0.4% 400 Ameron International Corp. ..................... 13,204 100 Centex Construction Products, Inc. ............. 4,467 1,700 Florida Rock Industries, Inc. .................. 84,320 1,900 Martin Marietta Materials, Inc. ................ 69,255 100 Oil-Dri Corporation of America.................. 1,200 200 U.S. Concrete, Inc.*............................ 1,024 900 United States Lime & Minerals, Inc. ............ 4,275 ----------- 177,745 ----------- DEFENSE -- 0.1% 500 Allied Defense Group, Inc.*..................... 10,555 860 Griffon Corp.*.................................. 15,446 800 KVH Industries, Inc.*........................... 20,168 900 Lowrance Electronics, Inc. ..................... 10,431 ----------- 56,600 ----------- DRUGS -- 2.8% 11,100 Alpharma, Inc., Class A......................... 206,460 800 American Pharmaceuticals, Inc.*................. 25,080 300 E-Z-EM, Inc. ................................... 3,645 8,300 Endo Pharmaceuticals Holdings, Inc.*............ 169,735 2,300 Genencor International, Inc.*................... 36,087 18,400 ICN Pharmaceuticals, Inc. ...................... 315,744 3,300 Inverness Medical Innovation, Inc.*............. 83,820 1,900 Kos Pharmaceuticals, Inc.*...................... 65,360 500 Medicines Co.*.................................. 13,000 6,100 Medicis Pharmaceutical Corp., Class A........... 357,460 700 Nature's Sunshine Products, Inc. ............... 5,810 3,700 NBTY, Inc.*..................................... 86,395 2,300 Nutraceutical International Corp.*.............. 23,851 700 Perrigo Co. .................................... 8,911 ----------- 1,401,358 ----------- DURABLES -- 1.0% 1,900 Arctic Cat, Inc. ............................... 36,727 3,300 Harman International Industries, Inc. .......... 324,555
See accompanying notes to the financial statements. 32 AXA ROSENBERG U.S. DISCOVERY FUND SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- SEPTEMBER 30, 2003 (UNAUDITED) --------------------------------------------------------------------------------
SHARES VALUE ------- ----------- COMMON STOCKS (CONTINUED) DURABLES (CONTINUED) 400 Marine Products Corp. .......................... $ 5,888 2,400 Thor Industries, Inc. .......................... 129,648 ----------- 496,818 ----------- ELECTRIC UTILITIES -- 1.6% 2,900 Central Vermont Public Service Corp. ........... 64,322 9,800 Duquesne Light Holdings, Inc. .................. 151,312 200 Energy East Corp. .............................. 4,486 9,000 Great Plains Energy, Inc. ...................... 272,880 800 Green Mountain Power Corp. ..................... 18,040 242 MGE Energy, Inc. ............................... 7,323 8,600 PNM Resources, Inc. ............................ 241,144 1,800 Unisource Energy Corp. ......................... 34,236 100 Westar Energy, Inc. ............................ 1,845 ----------- 795,588 ----------- FINANCIAL INVESTMENTS -- 1.3% 2,250 Aaron Rents, Inc. .............................. 47,138 900 California First National Bancorp............... 10,388 2,800 Choice Hotels International, Inc.*.............. 81,256 500 Enstar Group, Inc.*............................. 19,625 2,100 Fog Cutter Capital Group, Inc. ................. 10,645 300 G-III Apparel Group, Ltd.*...................... 2,922 2,600 LNR Property Corp. ............................. 106,470 1,700 PICO Holdings, Inc.*............................ 22,219 9,750 Rent-A-Center, Inc.*............................ 314,924 712 Shenandoah Telecommunications Co. .............. 27,448 2,100 TechTeam Global, Inc.*.......................... 12,831 1,100 Willis Lease Finance Corp.*..................... 6,039 ----------- 661,905 ----------- FOOD -- 1.5% 1,400 Andersons, Inc. ................................ 21,350 5,800 Bunge, Ltd. .................................... 159,500 2,900 Cal-Maine Foods, Inc. .......................... 21,750 1,000 Chiquita Brands International, Inc.*............ 17,700 450 Flowers Foods, Inc. ............................ 10,260 8,000 Fresh Del Monte Produce, Inc. .................. 196,800 1,100 National Beverage Corp.*........................ 16,610 3,600 Omega Protein Corp.*............................ 23,580 6,800 Ralcorp Holdings, Inc.*......................... 188,360 200 Seaboard Corp. ................................. 43,020 1,000 Seneca Foods Corp., Class B*.................... 19,000 1,100 Sylvan, Inc.*................................... 10,890 200 Zapata Corp.*................................... 11,180 ----------- 740,000 ----------- HEALTH -- 2.7% 6,300 Coventry Health Care, Inc.*..................... 332,262 400 Health Net, Inc.*............................... 12,668 29,000 Humana, Inc.*................................... 523,450 9,100 Mid Atlantic Medical Services, Inc.*............ 468,013 300 National Dentex Corp.*.......................... 6,471 100 PacifiCare Health Systems, Inc.*................ 4,880 ----------- 1,347,744 ----------- HOUSEHOLD -- 2.9% 2,000 Acres Gaming, Inc.*............................. 22,880 6,300 Acuity Brands, Inc. ............................ 113,778 200 American Biltrite, Inc. ........................ 1,360
SHARES VALUE ------- ----------- COMMON STOCKS (CONTINUED) HOUSEHOLD (CONTINUED) 400 American Locker Group, Inc.*.................... $ 4,812 1,800 Atlantis Plastics, Inc., Class A*............... 12,888 500 Bush Industries, Inc., Class A.................. 2,380 15,300 Callaway Golf Co. .............................. 218,331 1,000 Central Garden & Pet Co.*....................... 26,120 1,300 Chromcraft Revington, Inc.*..................... 16,055 1,800 Communication Systems, Inc. .................... 14,364 1,600 Flexsteel Industries, Inc. ..................... 29,142 200 Genlyte Group, Inc.*............................ 8,904 1,600 Gundle/SLT Environmental, Inc.*................. 24,560 4,200 Helen of Troy, Ltd.*............................ 101,724 7,300 Hillenbrand Industries, Inc. ................... 411,867 100 Hubbell, Inc., Class B.......................... 3,649 200 Juno Lighting, Inc.*............................ 2,800 6,100 K2, Inc.*....................................... 90,585 3,800 Kimball International, Inc., Class B............ 55,708 600 Knape & Vogt Manufacturing Co. ................. 6,600 2,300 Movado Group, Inc. ............................. 50,370 1,100 National Presto Industries, Inc. ............... 37,774 1,000 Patrick Industries, Inc. ....................... 6,790 200 Russ Berrie & Co., Inc. ........................ 6,738 4,000 Select Comfort Corp.*........................... 106,000 1,200 Variflex, Inc.*................................. 7,644 700 Virco Manufacturing Corp. ...................... 3,990 1,600 West Pharmaceutical Services, Inc. ............. 50,096 ----------- 1,437,909 ----------- INSTRUMENTS -- 5.9% 4,500 Alaris Medical Systems, Inc.*................... 74,700 1,000 American Shared Hospital Services............... 5,280 22,500 Apogent Technologies, Inc.*..................... 469,350 900 Astro-Med, Inc. ................................ 9,226 400 Atrion Corp. ................................... 18,080 11,500 Bausch & Lomb, Inc. ............................ 507,724 2,000 Bio-Rad Laboratories, Inc., Class A*............ 102,000 3,100 Checkpoint Systems, Inc.*....................... 48,980 400 Coherent, Inc.*................................. 9,852 2,800 Compex Technologies, Inc.*...................... 21,087 6,100 CONMED Corp.*................................... 125,904 1,400 Datascope Corp. ................................ 43,036 1,900 DJ Orthopedics, Inc.*........................... 26,505 3,400 Edwards Lifesciences Corp.*..................... 92,072 6,200 Invacare Corp. ................................. 232,996 600 Isco, Inc. ..................................... 5,310 200 Mentor Corp. ................................... 4,560 700 Mesa Laboratories, Inc.*........................ 6,307 100 Mine Safety Appliances Co. ..................... 5,462 100 Napco Security Systems, Inc.*................... 872 1,000 O.I. Corp.*..................................... 5,750 2,700 Orthofix International N.V.*.................... 98,820 600 Perceptron, Inc.*............................... 3,240 13,100 PerkinElmer, Inc. .............................. 200,561 4,400 Respironics, Inc.*.............................. 183,832 5,700 Sola International, Inc.*....................... 91,200 200 Span-America Medical Systems, Inc. ............. 1,860 13,900 Tektronix, Inc.*................................ 344,025 4,700 Trimble Navigation, Ltd.*....................... 108,805 100 Utah Medical Products, Inc.*.................... 2,475
See accompanying notes to the financial statements. 33 AXA ROSENBERG U.S. DISCOVERY FUND SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- SEPTEMBER 30, 2003 (UNAUDITED) --------------------------------------------------------------------------------
SHARES VALUE ------- ----------- COMMON STOCKS (CONTINUED) INSTRUMENTS (CONTINUED) 2,000 Viasys Healthcare, Inc.*........................ $ 40,400 300 Vicon Industries, Inc.*......................... 1,248 ----------- 2,891,519 ----------- INSURANCE -- 4.7% 8,800 American Financial Group, Inc. ................. 191,400 300 American National Insurance Co. ................ 25,515 200 American Physicians Capital, Inc.*.............. 5,556 6,900 AmerUs Group Co. ............................... 234,600 5,700 Arch Capital Group, Ltd.*....................... 188,157 1,100 Bancinsurance Corp.*............................ 7,150 1,200 CNA Financial Corp.*............................ 25,224 6,600 Commerce Group, Inc. ........................... 250,536 3,200 Crawford & Co., Class B......................... 22,464 2,900 Delphi Financial Group, Inc., Class A........... 134,908 100 Donegal Group, Inc. ............................ 1,430 1,400 FBL Financial Group, Inc., Class A.............. 34,496 1,400 FPIC Insurance Group, Inc.*..................... 21,098 1,800 Great American Financial Resources, Inc. ....... 26,064 5,900 Horace Mann Educators Corp. .................... 85,609 2,300 IPC Holdings, Ltd. ............................. 80,500 500 LandAmerica Financial Group, Inc. .............. 22,920 8,500 Max Re Capital, Ltd. ........................... 144,585 300 Merchants Group, Inc. .......................... 6,225 900 Midland Co. .................................... 19,170 100 National Western Life Insurance Co., Class A*... 13,736 100 NYMAGIC, Inc. .................................. 2,243 2,600 Odyssey Re Holdings Corp. ...................... 53,508 400 PXRE Group, Ltd. ............................... 7,180 3,900 Reinsurance Group of America, Inc. ............. 158,925 1,300 RenaissanceRe Holdings, Ltd. ................... 59,319 1,900 SCPIE Holdings, Inc. ........................... 19,000 4,900 Selective Insurance Group, Inc. ................ 145,824 600 Stewart Information Services Corp.*............. 16,944 1,800 Trover Solutions, Inc.*......................... 12,704 8,100 W. R. Berkley Corp. ............................ 277,507 60 Wesco Financial Corp. .......................... 20,398 ----------- 2,314,895 ----------- IT HARDWARE -- 5.2% 4,300 3Com Corp.*..................................... 25,370 5,100 ADTRAN, Inc. ................................... 312,018 32,200 Avaya, Inc.*.................................... 350,980 1,100 Benchmark Electronics, Inc.*.................... 46,497 500 Bogen Communications International, Inc.*....... 2,080 100 Cobra Electronics Corp.*........................ 684 2,550 Comtech Telecommunications Corp.*............... 60,971 4,900 Digi International, Inc.*....................... 32,433 1,800 Diodes, Inc.*................................... 37,062 100 Emulex Corp.*................................... 2,547 600 Endwave Corp.*.................................. 3,408 4,200 Hutchinson Technology, Inc.*.................... 139,020 200 Imation Corp. .................................. 6,530 12,700 International Rectifier Corp.*.................. 475,488 8,700 MEMC Electronic Materials, Inc.*................ 94,917 9,300 Mykrolis Corp.*................................. 112,902
SHARES VALUE ------- ----------- COMMON STOCKS (CONTINUED) IT HARDWARE (CONTINUED) 300 Network Equipment Technologies, Inc.*........... $ 2,745 625 Orbit International Corp.*...................... 4,406 3,000 Peak International, Ltd.*....................... 16,320 300 Photronics, Inc.*............................... 6,378 2,400 Silicon Laboratories, Inc.*..................... 107,880 1,200 Sparton Corp.*.................................. 12,660 1,300 Standard Microsystems Corp.*.................... 35,074 5,800 Ultratech, Inc.*................................ 163,676 19,000 Vishay Intertechnology, Inc.*................... 332,880 7,900 Zoran Corp.*.................................... 154,050 ----------- 2,538,976 ----------- LIQUOR & TOBACCO -- 0.0% 600 Todhunter International, Inc.*.................. 6,090 ----------- MACHINERY -- 4.8% 900 Ampco-Pittsburgh Corp. ......................... 10,791 3,200 Barnes Group, Inc. ............................. 83,072 18,100 Brunswick Corp. ................................ 464,807 1,400 Cascade Corp. .................................. 30,870 200 Chicago Rivet & Machine Co. .................... 5,404 6,400 China Yuchai International, Ltd. ............... 113,408 1,600 Drew Industries, Inc.*.......................... 29,616 900 Eastern Co. .................................... 13,194 3,000 ESCO Technologies, Inc.*........................ 135,810 2,106 Evans & Sutherland Computer Corp.*.............. 12,687 400 Federal Screw Works............................. 13,480 900 Flanders Corp.*................................. 4,338 300 Gehl Co.*....................................... 3,417 5,400 Gerber Scientific, Inc.*........................ 38,340 2,200 Hardinge, Inc. ................................. 18,172 2,100 Hawk Corp., Class A*............................ 8,505 900 International Aluminum Corp. ................... 19,584 100 Kennametal, Inc. ............................... 3,740 1,100 Key Technology, Inc.*........................... 12,628 2,600 Lennox International, Inc. ..................... 37,986 1,400 Lifetime Hoan Corp. ............................ 14,644 5,800 MagneTek, Inc.*................................. 28,710 700 Mestek, Inc.*................................... 11,767 2,300 Middleby Corp.*................................. 42,458 3,200 Nordson Corp. .................................. 82,848 600 P & F Industries, Inc.*......................... 4,530 300 Paul Mueller Co. ............................... 12,531 800 Q.E.P. Co., Inc.*............................... 8,278 200 Regal-Beloit Corp. ............................. 4,080 900 Riviera Tool Co.*............................... 4,320 3,100 Robbins & Myers, Inc. .......................... 68,944 1,300 Rofin-Sinar Technologies, Inc.*................. 27,287 2,000 Sauer-Danfoss, Inc. ............................ 28,200 1,500 SL Industries, Inc.*............................ 11,985 13,100 Snap-on, Inc. .................................. 362,215 3,100 SPS Technologies, Inc.*......................... 139,500 1,900 Standard Motor Products, Inc. .................. 19,190 1,800 Standex International Corp. .................... 43,740 500 Sun Hydraulics Corp. ........................... 3,505 1,700 Tecumseh Products Co., Class B.................. 60,350 7,600 Terex Corp.*.................................... 140,828 3,000 Toro Co. ....................................... 135,000
See accompanying notes to the financial statements. 34 AXA ROSENBERG U.S. DISCOVERY FUND SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- SEPTEMBER 30, 2003 (UNAUDITED) --------------------------------------------------------------------------------
SHARES VALUE ------- ----------- COMMON STOCKS (CONTINUED) MACHINERY (CONTINUED) 700 Twin Disc, Inc. ................................ $ 11,620 600 York International Corp. ....................... 20,754 ----------- 2,347,133 ----------- MEDIA -- 1.5% 300 Equity Marketing, Inc.*......................... 4,530 300 Grey Global Group, Inc. ........................ 228,330 8,000 Hearst -- Argyle Television, Inc.*.............. 193,600 1,300 Integrity Media, Inc.*.......................... 4,745 4,600 Media General, Inc., Class A.................... 281,060 600 New England Business Service, Inc. ............. 15,972 200 Outlook Group Corp. ............................ 1,106 200 Tufco Technologies, Inc.*....................... 1,288 ----------- 730,631 ----------- METALS -- 1.4% 3,800 AMCOL International Corp. ...................... 46,968 3,500 Brush Engineered Materials, Inc.*............... 35,875 200 Freeport-McMoRan Copper & Gold, Inc., Class B... 6,620 1,100 Harsco Corp. ................................... 42,317 2,200 L.B. Foster Co., Class A*....................... 12,606 2,700 Layne Christensen Co.*.......................... 25,907 300 Olympic Steel, Inc.*............................ 1,305 500 Precision Castparts Corp. ...................... 17,550 800 RTI International Metals, Inc.*................. 8,416 6,200 Ryerson Tull, Inc. ............................. 48,360 3,700 Southern Peru Copper Corp. ..................... 81,844 20,200 United States Steel Corp. ...................... 371,276 ----------- 699,044 ----------- MISCELLANEOUS FINANCIAL -- 0.4% 2,600 Affiliated Managers Group, Inc.*................ 163,280 500 Interactive Data Corp.*......................... 7,900 300 Maxcor Financial Group, Inc. ................... 4,107 300 Stifel Financial Corp.*......................... 4,050 30 Ziegler Co., Inc. .............................. 452 ----------- 179,789 ----------- OFFICE MACHINERY -- 3.1% 6,600 Avid Technology, Inc.*.......................... 348,744 1,000 Ciprico, Inc.*.................................. 5,000 1,200 Interphase Corp.*............................... 10,896 12,600 Iomega Corp.*................................... 140,364 6,700 Maxtor Corp.*................................... 81,539 1,800 Metrologic Instruments, Inc.*................... 64,782 600 PAR Technology Corp.*........................... 3,990 600 Printronix, Inc.*............................... 7,950 6,800 SanDisk Corp.*.................................. 433,432 17,000 Storage Technology Corp.*....................... 410,380 700 Stratasys, Inc.*................................ 29,834 ----------- 1,536,911 ----------- OIL -- 1.8% 3,700 Arch Coal, Inc. ................................ 82,177 200 Barnwell Industries, Inc.*...................... 4,960 1,800 Brigham Exploration Co.*........................ 12,240 10,500 Chesapeake Energy Corp. ........................ 113,190 1,100 Clayton Williams Energy, Inc.*.................. 20,735 4,900 Comstock Resources, Inc.*....................... 65,464 2,800 Denbury Resources, Inc.*........................ 34,608
SHARES VALUE ------- ----------- COMMON STOCKS (CONTINUED) OIL (CONTINUED) 600 Dominion Resources Black Warrior Trust.......... $ 16,470 200 Edge Petroleum Corp.*........................... 1,316 2,200 Houston Exploration Co.*........................ 77,220 2,200 Hugoton Royalty Trust........................... 41,228 8,800 KCS Energy, Inc.*............................... 59,840 6,250 Patina Oil & Gas Corp. ......................... 226,500 300 Penn Virginia Corp. ............................ 13,260 900 PetroCorp, Inc.*................................ 12,114 1,000 Pogo Producing Co. ............................. 45,280 2,300 Stone Energy Corp.*............................. 81,144 ----------- 907,746 ----------- OIL DISTRIBUTION -- 2.0% 700 Adams Resources & Energy, Inc. ................. 7,035 15,200 Ashland, Inc. .................................. 499,320 11,300 Sunoco, Inc. ................................... 454,486 4,500 TransMontaigne, Inc.*........................... 26,820 ----------- 987,661 ----------- OIL SERVICES -- 1.0% 10,000 FMC Technologies, Inc.*......................... 214,200 1,200 Lufkin Industries, Inc. ........................ 28,800 1,300 NATCO Group, Inc., Class A*..................... 8,034 4,900 Oil States International, Inc.*................. 62,181 3,800 Resource America, Inc., Class A................. 45,144 5,700 TETRA Technologies, Inc.*....................... 117,534 ----------- 475,893 ----------- OTHER UTILITIES -- 1.0% 8,200 Allied Waste Industries, Inc.*.................. 88,560 1,500 Chesapeake Utilities Corp. ..................... 34,380 600 Delta Natural Gas Co., Inc. .................... 13,806 2,200 Duratek, Inc.*.................................. 19,624 1,100 National Fuel Gas Co. .......................... 25,135 1,300 ONEOK, Inc. .................................... 26,221 100 RGC Resources, Inc. ............................ 2,276 300 SJW Corp. ...................................... 25,350 3,000 South Jersey Industries, Inc. .................. 113,550 7,245 Southern Union Co.*............................. 123,165 2,500 Waste Industries USA, Inc.*..................... 22,400 ----------- 494,467 ----------- PAPER -- 0.5% 100 Chesapeake Corp. ............................... 2,254 1,350 CSS Industries, Inc. ........................... 34,763 1,600 DSG International, Ltd. ........................ 12,256 3,200 Lydall, Inc.*................................... 38,432 1,300 Nashua Corp.*................................... 10,335 3,400 Universal Forest Products, Inc. ................ 82,518 5,400 Wausau-Mosinee Paper Corp. ..................... 65,934 ----------- 246,492 ----------- REAL ESTATE DEVELOPMENT -- 0.8% 1,200 American Safety Insurance Group, Ltd. .......... 14,820 500 AMREP Corp. .................................... 7,520 1,100 Avatar Holdings, Inc.*.......................... 35,178 5,900 Bluegreen Corp.*................................ 34,220 500 ILX Resorts, Inc. .............................. 3,750 300 J.W. Mays, Inc.*................................ 3,948
See accompanying notes to the financial statements. 35 AXA ROSENBERG U.S. DISCOVERY FUND SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- SEPTEMBER 30, 2003 (UNAUDITED) --------------------------------------------------------------------------------
SHARES VALUE ------- ----------- COMMON STOCKS (CONTINUED) REAL ESTATE DEVELOPMENT (CONTINUED) 600 Patriot Transportation Holding, Inc.*........... $ 17,460 21,100 Trizec Properties, Inc. ........................ 258,686 1,000 United Capital Corp. ........................... 18,000 ----------- 393,582 ----------- REAL ESTATE INVESTMENT TRUSTS -- 5.4% 200 Amli Residential Properties Trust............... 5,240 4,100 Brandywine Realty Trust......................... 105,329 700 BRT Realty Trust................................ 13,356 5,500 CBL & Associates Properties, Inc. .............. 274,450 600 Corporate Office Properties Trust............... 11,106 10,000 Cousins Properties, Inc. ....................... 277,500 2,000 ElderTrust...................................... 19,700 2,000 Entertainment Properties Trust.................. 60,000 1,800 Glenborough Realty Trust, Inc. ................. 33,948 200 Hanover Capital Mortgage Holdings, Inc. ........ 2,110 600 Hersha Hospitality Trust........................ 5,460 32,400 HRPT Properties Trust........................... 296,136 3,600 iStar Financial, Inc. .......................... 140,220 5,200 Keystone Property Trust......................... 105,352 2,300 Koger Equity, Inc. ............................. 43,240 5,400 LaSalle Hotel Properties........................ 93,582 3,200 LTC Properties, Inc. ........................... 37,056 10,600 Macerich Co. ................................... 400,150 900 Mid-America Apartment Communities, Inc. ........ 27,162 900 Middleton Doll Co. ............................. 4,860 4,400 Mission West Properties, Inc. .................. 54,384 1,000 Novastar Financial, Inc. ....................... 57,470 1,300 One Liberty Properties, Inc. ................... 24,115 2,100 Parkway Properties, Inc. ....................... 91,770 2,800 Pennsylvania Real Estate Investment Trust....... 93,660 900 PMC Commercial Trust............................ 12,312 4,200 Prentiss Properties Trust....................... 130,200 400 Presidential Realty Corp., Class B.............. 3,200 1,600 PS Business Parks, Inc. ........................ 60,384 4,100 SL Green Realty Corp. .......................... 148,051 4,900 Winston Hotels, Inc. ........................... 44,590 ----------- 2,676,093 ----------- RETAIL -- 5.8% 1,600 1-800 CONTACTS, Inc.*........................... 32,288 500 1-800-FLOWERS.COM, Inc., Class A*............... 3,760 1,000 America's Car-Mart, Inc.*....................... 29,950 6,700 AnnTaylor Stores Corp.*......................... 215,338 4,300 Barnes & Noble, Inc.*........................... 109,263 4,700 Big Lots, Inc.*................................. 74,307 300 Blair Corp. .................................... 6,240 2,500 Bombay Co., Inc.*............................... 24,625 3,800 Bon-Ton Stores, Inc. ........................... 37,810 13,200 Borders Group, Inc.*............................ 249,744 3,300 Brookstone, Inc.*............................... 65,439 400 Brown Shoe Co., Inc. ........................... 12,680 4,500 Burlington Coat Factory Warehouse Corp. ........ 84,150 200 Cash America International, Inc. ............... 3,280 1,300 Chronimed, Inc.*................................ 11,869
SHARES VALUE ------- ----------- COMMON STOCKS (CONTINUED) RETAIL (CONTINUED) 1,200 Claire's Stores, Inc. .......................... $ 40,152 2,800 EZCORP, Inc.*................................... 17,024 100 Finish Line, Inc., Class A*..................... 2,630 300 Finlay Enterprises, Inc.*....................... 4,359 16,400 Foot Locker, Inc. .............................. 265,680 2,600 Friedman's, Inc., Class A....................... 36,270 5,300 Goody's Family Clothing, Inc. .................. 52,258 1,000 Haverty Furniture Cos., Inc. ................... 18,280 100 Insight Enterprises, Inc.*...................... 1,522 5,800 InterTAN, Inc.*................................. 53,070 5,500 Linens 'n Things, Inc.*......................... 130,790 600 Longs Drug Stores Corp. ........................ 12,078 12,900 Pacific Sunwear of California, Inc.*............ 266,514 2,400 PC Mall, Inc.*.................................. 25,080 2,400 Ruddick Corp. .................................. 37,296 800 Rush Enterprises, Inc., Class B*................ 5,360 700 S&K Famous Brands, Inc.*........................ 11,935 1,700 Sharper Image Corp.*............................ 39,202 1,300 Sport Chalet, Inc.*............................. 9,620 3,800 Stage Stores, Inc.*............................. 96,824 3,400 Syms Corp.*..................................... 22,236 2,700 Systemax, Inc.*................................. 17,928 14,900 Toys "R" Us, Inc.*.............................. 179,247 2,200 Tractor Supply Co.*............................. 72,182 3,900 Trans World Entertainment Corp.*................ 22,035 1,700 Weis Markets, Inc. ............................. 57,817 500 Wolohan Lumber Co. ............................. 12,750 8,800 Zale Corp.*..................................... 390,808 ----------- 2,861,690 ----------- SERVICES -- 5.0% 300 Angelica Corp. ................................. 5,700 4,900 Capital Senior Living Corp.*.................... 21,266 9,700 Career Education Corp.*......................... 439,410 300 Cass Information Systems, Inc. ................. 9,855 3,200 CDI Corp. ...................................... 86,496 1,800 Cornell Cos., Inc.*............................. 29,610 2,400 CPI Corp. ...................................... 44,160 4,200 Discovery Partners International*............... 24,864 300 Exponent, Inc.*................................. 5,217 4,700 Getty Images, Inc.*............................. 165,252 300 Healthcare Services Group, Inc. ................ 4,950 200 Horizon Health Corp.*........................... 3,930 2,600 IMCO Recycling, Inc.*........................... 15,990 400 Imperial Parking Corp.*......................... 8,440 6,600 ITT Educational Services, Inc.*................. 316,272 4,000 Kelly Services, Inc., Class A................... 99,760 249 Kroll, Inc.*.................................... 4,631 2,500 Metal Management, Inc.*......................... 48,750 5,300 Modem Media, Inc.*.............................. 26,500 700 Monro Muffler Brake, Inc.*...................... 20,720 26,900 MPS Group, Inc.*................................ 242,100 700 Navigant International, Inc.*................... 9,807 2,900 NCO Group, Inc.*................................ 68,063 500 Opinion Research Corp.*......................... 3,050 7,300 PARXEL International Corp.*..................... 111,836 700 ResortQuest International, Inc.*................ 4,620 2,500 Schnitzer Steel Industries, Inc., Class A....... 75,075
See accompanying notes to the financial statements. 36 AXA ROSENBERG U.S. DISCOVERY FUND SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- SEPTEMBER 30, 2003 (UNAUDITED) --------------------------------------------------------------------------------
SHARES VALUE ------- ----------- COMMON STOCKS (CONTINUED) SERVICES (CONTINUED) 200 Scope Industries................................ $ 15,800 700 Security Capital Corp., Class A*................ 4,620 300 Service Corp. International*.................... 1,371 900 StarTek, Inc. .................................. 28,800 3,200 Steiner Leisure, Ltd.*.......................... 61,312 9,500 Sylvan Learning Systems, Inc.*.................. 259,160 1,400 University of Phoenix Online*................... 93,212 11,700 US Oncology, Inc.*.............................. 85,527 ----------- 2,446,126 ----------- SOAPS & COSMETICS -- 0.1% 1,200 CPAC, Inc. ..................................... 7,308 1,300 Del Laboratories, Inc.*......................... 36,725 600 Inter Parfums, Inc. ............................ 6,000 ----------- 50,033 ----------- SOFTWARE -- 6.2% 3,100 American Software, Inc., Class A................ 14,942 12,200 Ascential Software Corp.*....................... 226,066 2,400 Captiva Software Corp.*......................... 17,976 6,700 CIBER, Inc.*.................................... 50,920 2,800 Concerto Software, Inc.*........................ 23,800 6,400 Covansys Corp.*................................. 38,912 800 Dendrite International, Inc.*................... 12,152 2,800 Edgewater Technology, Inc.*..................... 14,560 13,300 eFunds Corp.*................................... 164,255 10,730 Epicor Software Corp.*.......................... 95,926 4,700 eResearch Technology, Inc.*..................... 163,701 8,100 Fair Isaac Corp. ............................... 477,575 1,100 FileNet Corp.*.................................. 22,077 15,200 First American Corp. ........................... 378,480 10,800 GTECH Holdings Corp. ........................... 462,780 600 Hyperion Solutions Corp.*....................... 17,322 4,210 IDX Systems Corp.*.............................. 97,335 2,000 Lightbridge, Inc.*.............................. 18,860 1,000 Manatron, Inc.*................................. 6,720 3,700 Mentor Graphics Corp.*.......................... 64,861 700 NWH, Inc. ...................................... 13,559 2,900 Progress Software Corp.*........................ 62,350 200 QAD, Inc.*...................................... 2,192 2,500 Rogue Wave Software, Inc.*...................... 10,295 3,300 SPSS, Inc.*..................................... 55,671 22,600 Sybase, Inc.*................................... 384,426 3,800 Synopsys, Inc.*................................. 116,926 700 Systems & Computer Technology Corp.*............ 7,301 ----------- 3,021,940 ----------- TELEPHONE -- 0.3% 1,200 Atlantic Tele-Network, Inc. .................... 25,380 3,500 Golden Telecom, Inc.*........................... 95,690 500 MarketWatch.com, Inc.*.......................... 4,181 1,000 Playboy Enterprises, Inc., Class A*............. 13,460 ----------- 138,711 ----------- TEXTILES -- 1.8% 3,700 Albany International Corp., Class A............. 114,108 2,800 Ashworth, Inc.*................................. 19,404 2,100 Deckers Outdoor Corp.*.......................... 21,000 200 Decorator Industries, Inc. ..................... 1,098
SHARES VALUE ------- ----------- COMMON STOCKS (CONTINUED) TEXTILES (CONTINUED) 1,000 Delta Apparel, Inc. ............................ $ 15,100 100 Fab Industries, Inc. ........................... 725 1,243 Haggar Corp. ................................... 19,204 400 Hallwood Group, Inc.*........................... 7,476 200 Hampshire Group, Ltd.*.......................... 6,368 3,900 Kellwood Co. ................................... 130,455 200 McRae Industries, Inc., Class A................. 1,590 1,500 Oxford Industries, Inc. ........................ 96,300 2,500 Phillips-Van Heusen Corp. ...................... 37,525 800 Phoenix Footwear Group, Inc.*................... 4,768 4,200 Quiksilver, Inc.*............................... 66,990 400 Russell Corp. .................................. 6,520 1,600 Saucony, Inc., Class A.......................... 22,080 700 Steven Madden, Ltd.*............................ 13,279 4,700 Stride Rite Corp. .............................. 50,760 1,300 Tandy Brands Accessories, Inc. ................. 18,577 20,500 Tommy Hilfiger Corp.*........................... 244,155 ----------- 897,482 ----------- TRANSPORTATION -- 3.9% 3,600 Alexander & Baldwin, Inc. ...................... 101,088 200 Boyd Brothers Transportation, Inc.*............. 1,128 1,900 Celadon Group, Inc.*............................ 24,415 200 Dynamex, Inc.*.................................. 1,802 4,890 EGL, Inc.*...................................... 88,900 16,500 Frontline, Ltd. ................................ 276,375 6,500 General Maritime Corp.*......................... 74,360 1,700 Maritrans, Inc. ................................ 25,500 900 Marten Transport, Ltd.*......................... 23,490 2,400 Nordic American Tanker Shipping, Ltd. .......... 33,120 6,800 Overseas Shipholding Group, Inc. ............... 175,780 15,000 Ryder Systems, Inc. ............................ 439,800 4,600 Sea Containers, Ltd., Class A................... 67,206 8,000 Teekay Shipping Corp. .......................... 338,400 1,700 U.S. Xpress Enterprises, Inc., Class A*......... 20,825 7,200 Yellow Corp.*................................... 215,136 ----------- 1,907,325 ----------- TRAVEL & ENTERTAINMENT -- 2.5% 200 Applebee's International, Inc. ................. 6,296 900 Aztar Corp.*.................................... 15,939 17,200 Blockbuster, Inc., Class A...................... 361,200 5,800 CBRL Group, Inc. ............................... 205,784 1,900 Checkers Drive-In Restaurants, Inc.*............ 17,480 2,900 Dave & Buster's, Inc.*.......................... 29,870 1,300 Frisch's Restaurants, Inc. ..................... 31,564 2,900 Gaylord Entertainment Co.*...................... 71,195 1,600 J. Alexander's Corp.*........................... 7,696 5,800 Kerzner International, Ltd.*.................... 206,364 3,400 Landry's Restaurants, Inc. ..................... 70,040 2,500 Lone Star Steakhouse & Saloon, Inc. ............ 52,250 1,700 Mandalay Resort Group........................... 67,337 2,000 Marcus Corp. ................................... 30,520 400 Max & Erma's Restaurants, Inc.*................. 6,892 600 Movie Gallery, Inc.*............................ 11,790 500 Outback Steakhouse, Inc. ....................... 18,935
See accompanying notes to the financial statements. 37 AXA ROSENBERG U.S. DISCOVERY FUND SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- SEPTEMBER 30, 2003 (UNAUDITED) --------------------------------------------------------------------------------
SHARES VALUE ------- ----------- COMMON STOCKS (CONTINUED) TRAVEL & ENTERTAINMENT (CONTINUED) 450 Rare Hospitality International, Inc.*........... $ 11,210 1,400 WestCoast Hospitality Corp.*.................... 6,440 ----------- 1,228,802 ----------- WHOLESALE -- 2.5% 800 AMCON Distributing Co. ......................... 3,680 4,900 Applied Industrial Technologies, Inc. .......... 97,363 2,900 Aristotle Corp.*................................ 14,790 3,900 Aviall, Inc.*................................... 48,282 1,100 Coast Distribution System, Inc. ................ 5,280 400 CompuCom Systems, Inc.*......................... 1,680 3,000 Department 56, Inc.*............................ 38,100 1,700 Enesco Group, Inc.*............................. 13,600 1,500 Hughes Supply, Inc. ............................ 48,675 1,200 Imagistics International, Inc.*................. 34,776 700 Moore Medical Corp.*............................ 4,032 500 Noland Co. ..................................... 17,075 15,800 Omnicare, Inc. ................................. 569,748 200 Pomeroy Computer Resources, Inc. ............... 2,540 400 PSS World Medical, Inc.*........................ 3,548 1,800 Richardson Electronics, Ltd. ................... 19,080 7,100 Stewart & Stevenson Services, Inc. ............. 106,642
SHARES VALUE ------- ----------- COMMON STOCKS (CONTINUED) WHOLESALE (CONTINUED) 2,600 TBC Corp.*...................................... $ 65,130 4,300 United Natural Foods, Inc.*..................... 142,717 100 Watsco, Inc., Class B........................... 1,900 ----------- 1,238,638 ----------- TOTAL INVESTMENTS COST ($41,309,255) (A) -- 99.8%.................................. 49,142,445 OTHER ASSETS IN EXCESS OF LIABILITIES -- 0.2%... 103,939 ----------- NET ASSETS -- 100.0%............................ $49,246,384 ===========
--------------- * Non-income producing security. (a) Represents cost for financial reporting purposes, is substantially the same as federal income tax purposes, and differs from value by net unrealized appreciation of securities as follows: Unrealized appreciation............... $ 8,518,486 Unrealized depreciation............... (685,296) ----------- Net unrealized appreciation........... $ 7,833,190 ===========
See accompanying notes to the financial statements. 38 AXA ROSENBERG U.S. LARGE CAPITALIZATION FUND SCHEDULE OF PORTFOLIO INVESTMENTS -- SEPTEMBER 30, 2003 -- (UNAUDITED) --------------------------------------------------------------------------------
SHARES VALUE ------ ----------- COMMON STOCKS -- 100.0% AUTOS -- 0.6% 400 BorgWarner, Inc. ............................... $ 27,140 2,100 Lear Corp.*..................................... 110,544 1,900 Textron, Inc. .................................. 74,955 ----------- 212,639 ----------- BANKS -- 13.7% 28,400 American Express Co. ........................... 1,279,704 19,600 Bank of America Corp. .......................... 1,529,585 1,500 Bank of Montreal................................ 51,750 5,600 Bank One Corp. ................................. 216,440 5,200 Banknorth Group, Inc. .......................... 146,744 1,800 Colonial BancGroup, Inc. ....................... 25,992 2,000 Doral Financial Corp. .......................... 94,000 1,100 FleetBoston Financial Corp. .................... 33,165 200 GreenPoint Financial Corp. ..................... 5,972 2,000 Hibernia Corp., Class A......................... 40,520 1,800 Independence Community Bank Corp. .............. 62,874 900 Marshall & Ilsley Corp. ........................ 28,368 4,500 New York Community Bancorp, Inc. ............... 141,795 4,100 Sovereign Bancorp, Inc. ........................ 76,055 3,100 U.S. Bancorp.................................... 74,369 1,800 UnionBanCal Corp. .............................. 89,280 30,700 Wachovia Corp. ................................. 1,264,533 1,200 Washington Federal, Inc. ....................... 30,252 ----------- 5,191,398 ----------- BIOTECHNOLOGY -- 2.4% 5,295 Amgen, Inc.*.................................... 341,898 6,400 Genentech, Inc.*................................ 512,896 900 Invitrogen Corp.*............................... 52,191 ----------- 906,985 ----------- BUILDING -- 1.7% 2,000 Centex Corp. ................................... 155,760 3,600 D.R. Horton, Inc. .............................. 117,720 500 Fluor Corp. .................................... 18,665 900 Jacobs Engineering Group, Inc.*................. 40,590 1,100 Lennar Corp. ................................... 85,569 90 Lennar Corp., B Shares.......................... 6,748 1,600 Pulte Homes, Inc. .............................. 108,816 900 Ryland Group, Inc. ............................. 65,799 1,600 Toll Brothers, Inc.*............................ 48,672 ----------- 648,339 ----------- CELLULAR -- 0.9% 16,800 Nextel Communications, Inc., Class A*........... 330,792 ----------- CHEMICALS -- 0.6% 300 Agrium, Inc. ................................... 3,768 1,400 Cytec Industries, Inc.*......................... 51,100 1,900 Lubrizol Corp. ................................. 61,655 4,000 Sherwin-Williams Co. ........................... 117,640 ----------- 234,163 ----------- COMPUTER -- 3.6% 40,034 Dell, Inc.*..................................... 1,336,735 ----------- CONSTRUCTION MATERIALS -- 0.5% 2,600 MDU Resources Group, Inc. ...................... 87,828 1,600 Mohawk Industries, Inc.*........................ 114,112 ----------- 201,940 -----------
SHARES VALUE ------ ----------- COMMON STOCKS (CONTINUED) DRUGS -- 3.8% 1,600 Barr Laboratories, Inc.*........................ $ 109,136 5,100 Bristol-Myers Squibb Co. ....................... 130,866 1,483 Medco Health Solutions, Inc.*................... 38,454 1,000 Medicis Pharmaceutical Corp., Class A........... 58,600 12,300 Merck & Co., Inc. .............................. 622,626 5,800 Mylan Laboratories, Inc. ....................... 224,170 1,200 Pharmaceutical Resources, Inc.*................. 81,864 3,500 Watson Pharmaceuticals, Inc.*................... 145,915 ----------- 1,411,631 ----------- DURABLES -- 0.1% 500 Harman International Industries, Inc. .......... 49,175 ----------- ELECTRIC UTILITIES -- 2.9% 24,200 Duke Energy Corp. .............................. 431,002 7,100 Entergy Corp. .................................. 384,465 2,400 Great Plains Energy, Inc. ...................... 72,768 2,800 OGE Energy Corp. ............................... 63,252 3,600 SCANA Corp. .................................... 123,300 ----------- 1,074,787 ----------- FOOD -- 4.3% 1,700 Bunge, Ltd. .................................... 46,750 300 Campbell Soup Co. .............................. 7,950 1,800 Fresh Del Monte Produce, Inc. .................. 44,280 31,100 PepsiCo, Inc. .................................. 1,425,313 7,200 Tyson Foods, Inc., Class A...................... 101,736 ----------- 1,626,029 ----------- HEALTH -- 1.5% 4,500 Aetna, Inc. .................................... 274,635 1,600 Coventry Health Care, Inc.*..................... 84,384 1,300 Health Net, Inc.*............................... 41,171 1,100 Humana, Inc.*................................... 19,855 1,600 Mid Atlantic Medical Services, Inc.*............ 82,288 1,300 PacifiCare Health Systems, Inc.*................ 63,440 ----------- 565,773 ----------- HOUSEHOLD -- 1.3% 4,600 Fortune Brands, Inc. ........................... 261,050 4,800 Hasbro, Inc. ................................... 89,664 1,200 Hillenbrand Industries, Inc. ................... 67,704 2,300 International Game Technology................... 64,745 ----------- 483,163 ----------- INSTRUMENTS -- 3.3% 2,600 Apogent Technologies, Inc.*..................... 54,236 1,900 Bausch & Lomb, Inc. ............................ 83,885 8,100 Becton, Dickinson & Co. ........................ 292,572 4,500 Boston Scientific Corp.*........................ 287,100 4,100 Honeywell International, Inc. .................. 108,035 2,900 Johnson Controls, Inc. ......................... 274,340 900 PerkinElmer, Inc. .............................. 13,779 1,300 Respironics, Inc.*.............................. 54,314 2,500 Thermo Electron Corp.*.......................... 54,250 500 Zimmer Holdings, Inc.*.......................... 27,550 ----------- 1,250,061 ----------- INSURANCE -- 4.0% 8,200 Aon Corp. ...................................... 170,970 400 CNA Financial Corp.*............................ 8,408 1,500 Everest Re Group, Ltd. ......................... 112,740
See accompanying notes to the financial statements. 39 AXA ROSENBERG U.S. LARGE CAPITALIZATION FUND SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- SEPTEMBER 30, 2003 -- (UNAUDITED) --------------------------------------------------------------------------------
SHARES VALUE ------ ----------- COMMON STOCKS (CONTINUED) INSURANCE (CONTINUED) 4,100 Fidelity National Financial, Inc. .............. $ 123,246 2,200 HCC Insurance Holdings, Inc. ................... 63,976 1,500 IPC Holdings, Ltd. ............................. 52,500 4,200 John Hancock Financial Services, Inc. .......... 141,960 10,400 MetLife, Inc. .................................. 291,720 3,900 Old Republic International Corp. ............... 129,051 3,000 Radian Group, Inc. ............................. 133,200 2,000 RenaissanceRe Holdings, Ltd. ................... 91,260 1,900 SAFECO Corp. ................................... 66,994 700 Torchmark Corp. ................................ 28,448 2,300 W. R. Berkley Corp. ............................ 78,798 ----------- 1,493,271 ----------- IT HARDWARE -- 6.1% 22,900 Cisco Systems, Inc.*............................ 447,466 58,400 Intel Corp. .................................... 1,606,584 400 International Rectifier Corp.*.................. 14,976 1,800 Intersil Corp., Class A*........................ 42,840 5,900 National Semiconductor Corp.*................... 190,511 ----------- 2,302,377 ----------- MACHINERY -- 5.2% 1,900 American Standard Cos., Inc.*................... 160,075 2,900 Brunswick Corp. ................................ 74,472 10,600 Caterpillar, Inc. .............................. 729,704 1,300 Cummins, Inc. .................................. 57,759 7,500 Deere & Co. .................................... 399,825 15,000 Masco Corp. .................................... 367,200 5,300 Rockwell Automation, Inc. ...................... 139,125 1,000 Snap-on, Inc. .................................. 27,650 ----------- 1,955,810 ----------- MEDIA -- 2.2% 200 Media General, Inc., Class A.................... 12,220 6,500 Tribune Co. .................................... 298,350 7,900 Viacom, Inc., Class A........................... 303,360 10,900 Walt Disney Co. ................................ 219,853 ----------- 833,783 ----------- METALS -- 0.4% 1,700 Cameco Corp. ................................... 59,313 1,000 Freeport-McMoRan Copper & Gold, Inc., Class B... 33,100 400 Harsco Corp. ................................... 15,388 900 Precision Castparts Corp. ...................... 31,590 ----------- 139,391 ----------- MISCELLANEOUS FINANCIAL -- 5.2% 7,700 Citigroup, Inc. ................................ 350,427 39,300 J.P. Morgan Chase & Co. ........................ 1,349,169 8,100 Principal Financial Group, Inc. ................ 251,019 ----------- 1,950,615 ----------- OFFICE MACHINERY -- 1.9% 800 Diebold, Inc. .................................. 40,520 14,300 EMC Corp.*...................................... 180,609 12,100 Hewlett-Packard Co. ............................ 234,256 6,800 Maxtor Corp.*................................... 82,756
SHARES VALUE ------ ----------- COMMON STOCKS (CONTINUED) OFFICE MACHINERY (CONTINUED) 2,000 SanDisk Corp.*.................................. $ 127,480 1,800 Storage Technology Corp.*....................... 43,452 ----------- 709,073 ----------- OIL -- 1.6% 5,000 Apache Corp. ................................... 346,700 6,500 Chesapeake Energy Corp. ........................ 70,070 3,000 Nexen, Inc. .................................... 81,960 2,100 Pogo Producing Co. ............................. 95,088 ----------- 593,818 ----------- OIL -- INTEGRATED -- 4.7% 12,800 ChevronTexaco Corp. ............................ 914,560 10,200 ConocoPhillips.................................. 558,450 9,700 Marathon Oil Corp. ............................. 276,450 ----------- 1,749,460 ----------- OIL DISTRIBUTION -- 0.3% 2,600 Sunoco, Inc. ................................... 104,572 ----------- OIL SERVICES -- 0.1% 1,000 FMC Technologies, Inc.*......................... 21,420 ----------- OTHER UTILITIES -- 0.2% 3,200 ONEOK, Inc. .................................... 64,544 ----------- REAL ESTATE INVESTMENT TRUSTS -- 0.4% 200 Apartment Investment & Management Co., Class A............................................. 7,872 3,200 iStar Financial, Inc. .......................... 124,640 900 Macerich Co. ................................... 33,975 ----------- 166,487 ----------- RETAIL -- 7.8% 4,100 Big Lots, Inc.*................................. 64,821 1,400 Borders Group, Inc.*............................ 26,488 1,400 Chico's FAS, Inc.*.............................. 42,896 600 Claire's Stores, Inc. .......................... 20,076 3,700 Dollar Tree Stores, Inc.*....................... 123,950 2,600 eBay, Inc.*..................................... 138,580 1,300 Family Dollar Stores, Inc. ..................... 51,857 6,000 Federated Department Stores, Inc. .............. 251,400 4,900 Foot Locker, Inc. .............................. 79,380 1,900 Gap, Inc. ...................................... 32,528 900 Home Depot, Inc. ............................... 28,665 600 J.C. Penney Co., Inc. .......................... 12,822 21,900 Lowe's Cos., Inc. .............................. 1,136,610 500 Neiman Marcus Group, Inc., Class A*............. 20,850 9,900 Office Depot, Inc.*............................. 139,095 3,200 Sears, Roebuck & Co. ........................... 139,936 15,000 Staples, Inc.*.................................. 356,250 11,000 TJX Cos., Inc. ................................. 213,620 5,300 Toys "R" Us, Inc.*.............................. 63,759 ----------- 2,943,583 ----------- SERVICES -- 2.5% 2,900 Accenture Ltd., Class A*........................ 64,786 3,400 Apollo Group, Inc., Class A*.................... 224,502 10,000 InterActiveCorp*................................ 330,500 8,100 Prudential Financial, Inc. ..................... 302,616 ----------- 922,404 -----------
See accompanying notes to the financial statements. 40 AXA ROSENBERG U.S. LARGE CAPITALIZATION FUND SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- SEPTEMBER 30, 2003 -- (UNAUDITED) --------------------------------------------------------------------------------
SHARES VALUE ------ ----------- COMMON STOCKS (CONTINUED) 7/8w SOAPS & COSMETICS -- 0.4% 500 Avon Products, Inc. ............................ $ 32,280 3,300 Estee Lauder Co., Inc., Class A................. 112,530 ----------- 144,810 ----------- SOFTWARE -- 6.3% 5,700 Computer Sciences Corp.*........................ 214,149 3,600 Electronic Arts, Inc.*.......................... 332,028 1,500 Fair Isaac Corp. ............................... 88,440 2,400 First American Corp. ........................... 59,760 12,900 First Data Corp. ............................... 515,484 1,900 GTECH Holdings Corp. ........................... 81,415 1,200 International Business Machines Corp. .......... 105,996 35,000 Microsoft Corp. ................................ 972,650 ----------- 2,369,922 ----------- TELEPHONE -- 5.1% 78,300 AOL Time Warner, Inc.*.......................... 1,183,113 100 BellSouth Corp. ................................ 2,368 4,600 CenturyTel, Inc. ............................... 155,894 5,000 Comcast Corp., Class A*......................... 154,400 7,300 Cox Communications, Inc., Class A*.............. 230,826 400 Qwest Communications International, Inc.*....... 1,360 12,200 Sprint Corp. ................................... 184,220 ----------- 1,912,181 ----------- TEXTILES -- 0.4% 200 Coach, Inc.*.................................... 10,920 3,400 Liz Claiborne, Inc. ............................ 115,770 300 NIKE, Inc. ..................................... 18,246 ----------- 144,936 ----------- TRANSPORTATION -- 0.9% 5,800 Burlington Northern Santa Fe Corp. ............. 167,446 2,100 Ryder Systems, Inc. ............................ 61,572 1,200 Teekay Shipping Corp. .......................... 50,760 1,300 Union Pacific Corp. ............................ 75,621 ----------- 355,399 -----------
SHARES VALUE ------ ----------- COMMON STOCKS (CONTINUED) TRAVEL & ENTERTAINMENT -- 1.0% 1,600 Applebee's International, Inc. ................. $ 50,368 1,500 CBRL Group, Inc. ............................... 53,220 6,200 Cendant Corp.*.................................. 115,878 1,400 Mandalay Resort Group........................... 55,454 3,000 McDonald's Corp. ............................... 70,620 1,100 Outback Steakhouse, Inc. ....................... 41,657 ----------- 387,197 ----------- WHOLESALE -- 2.1% 700 AdvancePCS*..................................... 31,899 2,900 Omnicare, Inc. ................................. 104,574 19,900 Sysco Corp. .................................... 650,929 ----------- 787,402 ----------- TOTAL INVESTMENTS (COST $36,471,619) (A) -- 100.0%........................................ 37,576,065 OTHER ASSETS IN EXCESS OF LIABILITIES -- 0.0%... 8,571 ----------- NET ASSETS -- 100.0%............................ $37,584,636 ===========
--------------- * Represents non-income producing securities. (a) Represents cost for financial reporting purposes, is substantially the same as federal income tax purposes, and differs from value by net unrealized appreciation of securities as follows: Unrealized appreciation................ $1,951,591 Unrealized depreciation................ (847,145) ---------- Net unrealized appreciation............ $1,104,446 ==========
See accompanying notes to the financial statements. 41 AXA ROSENBERG ENHANCED 500 FUND SCHEDULE OF PORTFOLIO INVESTMENTS -- SEPTEMBER 30, 2003 (UNAUDITED) --------------------------------------------------------------------------------
SHARES VALUE --------- ---------- COMMON STOCKS -- 97.6% AIRLINES -- 0.2% 100 FedEx Corp. .................................... $ 6,443 300 Southwest Airlines Co. ......................... 5,310 ---------- 11,753 ---------- AUTOS -- 1.1% 900 Ford Motor Co. ................................. 9,693 900 General Motors Acceptance Corp. ................ 36,837 11 PACCAR, Inc. ................................... 822 400 Textron, Inc. .................................. 15,780 ---------- 63,132 ---------- BANKS -- 12.5% 1,200 American Express Co. ........................... 54,072 100 AmSouth Bancorp................................. 2,122 1,300 Bank of America Corp. .......................... 101,452 300 Bank of New York Co., Inc. ..................... 8,733 1,000 Bank One Corp. ................................. 38,650 200 BB&T Corp. ..................................... 7,182 100 Capital One Financial Corp. .................... 5,704 300 Countrywide Financial Corp. .................... 23,484 200 Fifth Third Bancorp............................. 11,054 1,400 FleetBoston Financial Corp. .................... 42,210 800 Freddie Mac..................................... 41,880 5,000 General Electric Co. ........................... 149,049 200 KeyCorp......................................... 5,114 100 Marshall & Ilsley Corp. ........................ 3,152 600 MBNA Corp. ..................................... 13,680 200 Mellon Financial Corp. ......................... 6,028 300 National City Corp. ............................ 8,838 100 Northern Trust Corp. ........................... 4,244 600 PNC Financial Services Group.................... 28,548 100 Regions Financial Corp. ........................ 3,425 200 SLM Corp. ...................................... 7,792 100 SouthTrust Corp. ............................... 2,939 100 State Street Corp. ............................. 4,500 100 SunTrust Banks, Inc. ........................... 6,037 100 Synovus Financial Corp. ........................ 2,499 1,500 U.S. Bancorp.................................... 35,985 1,300 Wachovia Corp. ................................. 53,547 400 Washington Mutual, Inc. ........................ 15,748 800 Wells Fargo & Co. .............................. 41,200 ---------- 728,868 ---------- BIOTECHNOLOGY -- 1.1% 900 Amgen, Inc.*.................................... 58,113 100 Genzyme Corp.*.................................. 4,625 100 MedImmune, Inc.*................................ 3,301 ---------- 66,039 ---------- BUILDING -- 0.7% 200 Centex Corp. ................................... 15,576 200 KB HOME......................................... 11,932 200 Pulte Homes, Inc. .............................. 13,602 ---------- 41,110 ---------- CELLULAR -- 0.9% 100 Alltel Corp. ................................... 4,634 1,400 AT&T Wireless Services, Inc.*................... 11,452 1,800 Nextel Communications, Inc., Class A*........... 35,442 ---------- 51,528 ----------
SHARES VALUE --------- ---------- COMMON STOCKS (CONTINUED) CHEMICALS -- 1.4% 100 Air Products & Chemicals, Inc. ................. $ 4,510 500 Dow Chemical Co. ............................... 16,270 500 Du Pont (E.I.) de Nemours & Co. ................ 20,005 300 Great Lakes Chemical Corp. ..................... 6,033 600 Hercules, Inc.*................................. 6,798 300 PPG Industries, Inc. ........................... 15,666 100 Rohm & Haas Co. ................................ 3,345 400 Sherwin-Williams Co. ........................... 11,764 ---------- 84,391 ---------- COMPUTER -- 1.5% 200 Apple Computer, Inc.*........................... 4,126 2,400 Dell, Inc.*..................................... 80,136 1,400 Sun Microsystems, Inc.*......................... 4,634 ---------- 88,896 ---------- DEFENSE -- 0.4% 400 Boeing Co. ..................................... 13,732 100 Lockheed Martin Corp. .......................... 4,615 200 Raytheon Co. ................................... 5,600 ---------- 23,947 ---------- DRUGS -- 6.1% 700 Abbott Laboratories............................. 29,785 900 Bristol-Myers Squibb Co. ....................... 23,094 500 Eli Lilly & Co. ................................ 29,700 100 Forest Laboratories, Inc.*...................... 5,145 205 Medco Health Solutions, Inc.*................... 5,316 1,700 Merck & Co., Inc. .............................. 86,054 3,700 Pfizer, Inc. ................................... 112,406 700 Schering-Plough Corp. .......................... 10,668 300 Watson Pharmaceuticals, Inc.*................... 12,507 1,000 Wyeth........................................... 46,100 ---------- 360,775 ---------- DURABLES -- 0.1% 100 Harley-Davidson, Inc. .......................... 4,820 ---------- ELECTRIC UTILITIES -- 1.4% 100 American Electric Power, Inc. .................. 3,000 100 Consolidated Edison, Inc. ...................... 4,076 100 Dominion Resources, Inc. ....................... 6,190 400 Duke Energy Corp. .............................. 7,124 500 Entergy Corp. .................................. 27,075 100 Exelon Corp. ................................... 6,350 100 FirstEnergy Corp. .............................. 3,190 200 PG&E Corp.*..................................... 4,780 100 Progress Energy, Inc. .......................... 4,446 100 Public Service Enterprise Group, Inc. .......... 4,200 300 Southern Co. ................................... 8,796 200 TXU Corp. ...................................... 4,712 ---------- 83,939 ---------- FOOD -- 3.3% 210 Archer-Daniels-Midland Co. ..................... 2,753 700 Campbell Soup Co. .............................. 18,550 1,200 Coca-Cola Co. .................................. 51,552 200 Coca-Cola Enterprises, Inc. .................... 3,812 200 ConAgra Foods, Inc. ............................ 4,248 100 General Mills, Inc. ............................ 4,707 500 H.J. Heinz Co. ................................. 17,140 200 Kellogg Co. .................................... 6,670
See accompanying notes to the financial statements. 42 AXA ROSENBERG ENHANCED 500 FUND SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- SEPTEMBER 30, 2003 (UNAUDITED) --------------------------------------------------------------------------------
SHARES VALUE --------- ---------- COMMON STOCKS (CONTINUED) FOOD (CONTINUED) 1,600 PepsiCo, Inc. .................................. $ 73,328 300 Sara Lee Corp. ................................. 5,508 100 Wm. Wrigley Jr. Co. ............................ 5,530 ---------- 193,798 ---------- HEALTH -- 1.2% 400 Aetna, Inc. .................................... 24,412 100 Anthem, Inc.*................................... 7,133 200 HCA, Inc. ...................................... 7,372 600 Humana, Inc.*................................... 10,830 200 Tenet Healthcare Corp.*......................... 2,896 300 UnitedHealth Group, Inc. ....................... 15,096 ---------- 67,739 ---------- HOUSEHOLD -- 1.4% 500 Corning, Inc.*.................................. 4,710 400 Fortune Brands, Inc. ........................... 22,700 500 Gillette Co. ................................... 15,990 500 Hasbro, Inc. ................................... 9,340 900 International Game Technology................... 25,335 200 Mattel, Inc. ................................... 3,792 ---------- 81,867 ---------- INSTRUMENTS -- 4.5% 200 Agilent Technologies, Inc.*..................... 4,422 300 Bausch & Lomb, Inc. ............................ 13,245 300 Baxter International, Inc. ..................... 8,718 600 Becton, Dickinson & Co. ........................ 21,672 100 Biomet, Inc. ................................... 3,361 700 Boston Scientific Corp.*........................ 44,660 100 Guidant Corp. .................................. 4,685 400 Honeywell International, Inc. .................. 10,540 1,500 Johnson & Johnson............................... 74,280 300 Johnson Controls, Inc. ......................... 28,380 600 Medtronic, Inc. ................................ 28,152 100 Stryker Corp. .................................. 7,531 400 Thermo Electron Corp.*.......................... 8,680 100 Zimmer Holdings, Inc.*.......................... 5,510 ---------- 263,836 ---------- INSURANCE -- 6.1% 600 ACE, Ltd. ...................................... 19,848 200 AFLAC, Inc. .................................... 6,460 1,100 Allstate Corp. ................................. 40,183 1,300 American International Group, Inc. ............. 75,010 700 Aon Corp. ...................................... 14,595 100 Hartford Financial Services Group, Inc. ........ 5,263 700 John Hancock Financial Services, Inc. .......... 23,660 400 Loews Corp. .................................... 16,148 700 Marsh & McLennan Cos., Inc. .................... 33,327 1,200 MetLife, Inc. .................................. 33,660 300 MGIC Investment Corp. .......................... 15,621 300 Progressive Corp. .............................. 20,733 400 SAFECO Corp. ................................... 14,104 100 St. Paul Cos., Inc. ............................ 3,703 300 Torchmark Corp. ................................ 12,192 300 XL Capital, Ltd., Class A....................... 23,232 ---------- 357,739 ----------
SHARES VALUE --------- ---------- COMMON STOCKS (CONTINUED) IT HARDWARE -- 5.6% 200 Altera Corp.*................................... $ 3,780 100 Analog Devices, Inc.*........................... 3,802 800 Applied Materials, Inc.*........................ 14,512 100 Broadcom Corp., Class A*........................ 2,662 5,300 Cisco Systems, Inc.*............................ 103,562 100 General Dynamics Corp. ......................... 7,806 4,800 Intel Corp. .................................... 132,048 100 Linear Technology Co. .......................... 3,581 100 Maxim Integrated Products, Inc. ................ 3,950 300 Micron Technology, Inc.*........................ 4,026 1,200 Motorola, Inc. ................................. 14,364 400 National Semiconductor Corp.*................... 12,916 800 Texas Instruments, Inc. ........................ 18,240 100 Xilinx, Inc.*................................... 2,851 ---------- 328,100 ---------- LIQUOR & TOBACCO -- 1.7% 1,400 Altria Group, Inc. ............................. 61,320 800 Anheuser-Busch Cos., Inc. ...................... 39,472 ---------- 100,792 ---------- MACHINERY -- 3.3% 300 American Standard Cos., Inc.*................... 25,275 400 Brunswick Corp. ................................ 10,272 100 Caterpillar, Inc. .............................. 6,884 400 Deere & Co. .................................... 21,324 100 Dover Corp. .................................... 3,537 200 Emerson Electric Co. ........................... 10,530 100 Illinois Tool Works, Inc. ...................... 6,626 1,000 Masco Corp. .................................... 24,480 400 Rockwell Automation, Inc. ...................... 10,500 300 Snap-on, Inc. .................................. 8,295 1,000 Tyco International, Ltd. ....................... 20,430 600 United Technologies Corp. ...................... 46,368 ---------- 194,521 ---------- MEDIA -- 1.4% 400 American Greetings Corp., Class A *............. 7,772 300 Clear Channel Communications, Inc. ............. 11,490 100 Gannett Co., Inc. .............................. 7,756 400 Tribune Co. .................................... 18,360 100 Univision Communications, Inc., Class A*........ 3,193 1,700 Walt Disney Co. ................................ 34,289 ---------- 82,860 ---------- METALS -- 0.6% 300 Alcoa, Inc. .................................... 7,848 400 Freeport-McMoRan Copper & Gold, Inc., Class B... 13,240 200 Newmont Mining Corp. ........................... 7,818 400 United States Steel Corp. ...................... 7,352 ---------- 36,258 ---------- MISCELLANEOUS FINANCIAL -- 5.9% 200 Ambac Financial Group, Inc. .................... 12,800 600 Charles Schwab Corp. ........................... 7,146 3,800 Citigroup, Inc. ................................ 172,938 100 Franklin Resources, Inc. ....................... 4,421 200 Goldman Sachs Group, Inc. ...................... 16,780 1,800 J.P. Morgan Chase & Co. ........................ 61,794
See accompanying notes to the financial statements. 43 AXA ROSENBERG ENHANCED 500 FUND SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- SEPTEMBER 30, 2003 (UNAUDITED) --------------------------------------------------------------------------------
SHARES VALUE --------- ---------- COMMON STOCKS (CONTINUED) MISCELLANEOUS FINANCIAL (CONTINUED) 100 Lehman Brothers Holdings, Inc. ................. $ 6,908 400 Merrill Lynch & Co. ............................ 21,412 500 Morgan Stanley Dean Witter & Co. ............... 25,230 200 Principal Financial Group, Inc. ................ 6,198 300 Qualcomm, Inc. ................................. 12,492 ---------- 348,119 ---------- OFFICE MACHINERY -- 1.2% 100 Eastman Kodak Co. .............................. 2,094 1,100 EMC Corp.*...................................... 13,893 1,400 Hewlett-Packard Co. ............................ 27,104 200 Lexmark International, Inc.*.................... 12,602 100 Network Appliance, Inc.*........................ 2,053 100 Pitney Bowes, Inc. ............................. 3,832 200 Veritas Software Corp.*......................... 6,280 300 Xerox Corp.*.................................... 3,078 ---------- 70,936 ---------- OIL -- 0.6% 100 Anadarko Petroleum Corp. ....................... 4,176 300 Apache Corp. ................................... 20,802 100 Burlington Resources, Inc. ..................... 4,820 100 Devon Energy Corp. ............................. 4,819 ---------- 34,617 ---------- OIL -- INTEGRATED -- 4.5% 1,000 ChevronTexaco Corp. ............................ 71,450 700 ConocoPhillips.................................. 38,325 3,400 Exxon Mobil Corp. .............................. 124,440 700 Marathon Oil Corp. ............................. 19,950 200 Occidental Petroleum Corp. ..................... 7,046 100 Unocal Corp. ................................... 3,152 ---------- 264,363 ---------- OIL DISTRIBUTION -- 0.4% 300 Ashland, Inc. .................................. 9,855 300 Sunoco, Inc. ................................... 12,066 ---------- 21,921 ---------- OIL SERVICES -- 0.3% 100 Baker Hughes, Inc. ............................. 2,959 200 Halliburton Co. ................................ 4,850 200 Schlumberger, Ltd. ............................. 9,680 ---------- 17,489 ---------- OTHER UTILITIES -- 0.3% 300 Peoples Energy Corp. ........................... 12,414 200 Waste Management, Inc. ......................... 5,234 ---------- 17,648 ---------- PAPER -- 2.4% 800 3M Co. ......................................... 55,256 200 International Paper Co. ........................ 7,804 200 Kimberly-Clark Corp. ........................... 10,264 700 Procter & Gamble Co. ........................... 64,974 100 Weyerhaeuser Co. ............................... 5,845 ---------- 144,143 ---------- REAL ESTATE DEVELOPMENT -- 0.1% 200 Limited Brands, Inc. ........................... 3,016 ----------
SHARES VALUE --------- ---------- COMMON STOCKS (CONTINUED) REAL ESTATE INVESTMENT TRUSTS -- 0.1% 200 Equity Office Properties Trust.................. $ 5,506 100 Equity Residential.............................. 2,928 ---------- 8,434 ---------- RETAIL -- 8.1% 200 Albertson's, Inc. .............................. 4,114 100 AutoZone, Inc.*................................. 8,953 100 Bed Bath & Beyond, Inc.*........................ 3,818 100 Best Buy Co., Inc.*............................. 4,752 600 Big Lots, Inc.*................................. 9,486 200 Costco Wholesale Corp.*......................... 6,216 700 CVS Corp. ...................................... 21,742 100 Dollar General Corp. ........................... 2,000 300 eBay, Inc.*..................................... 15,990 500 Federated Department Stores, Inc. .............. 20,950 400 Gap, Inc. ...................................... 6,848 2,000 Home Depot, Inc. ............................... 63,700 600 J.C. Penney Co., Inc. .......................... 12,822 100 Kohl's Corp.*................................... 5,350 300 Kroger Co.*..................................... 5,361 800 Lowe's Cos., Inc. .............................. 41,520 100 May Department Stores Co. ...................... 2,463 700 Office Depot, Inc.*............................. 9,835 200 Safeway, Inc.*.................................. 4,588 700 Sears, Roebuck & Co. ........................... 30,611 200 Staples, Inc.*.................................. 4,750 400 SUPERVALU, Inc. ................................ 9,544 400 Target Corp. ................................... 15,052 1,100 TJX Cos., Inc. ................................. 21,362 800 Toys "R" Us, Inc.*.............................. 9,624 2,200 Wal-Mart Stores, Inc. .......................... 122,870 500 Walgreen Co. ................................... 15,320 ---------- 479,641 ---------- SERVICES -- 1.2% 400 Apollo Group, Inc., Class A*.................... 26,412 100 H&R Block, Inc. ................................ 4,315 100 Paychex, Inc. .................................. 3,393 1,000 Prudential Financial, Inc. ..................... 37,360 ---------- 71,480 ---------- SOAPS & COSMETICS -- 0.7% 400 Avon Products, Inc. ............................ 25,824 100 Clorox Co. ..................................... 4,587 200 Colgate-Palmolive Co. .......................... 11,178 ---------- 41,589 ---------- SOFTWARE -- 7.1% 100 Adobe Systems, Inc. ............................ 3,926 300 Automatic Data Processing, Inc. ................ 10,755 200 Computer Associates International, Inc. ........ 5,222 400 Computer Sciences Corp.*........................ 15,028 200 Electronic Data Systems Corp. .................. 4,040 1,000 First Data Corp. ............................... 39,960 1,400 International Business Machines Corp. .......... 123,662 5,800 Microsoft Corp. ................................ 161,182
See accompanying notes to the financial statements. 44 AXA ROSENBERG ENHANCED 500 FUND SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- SEPTEMBER 30, 2003 (UNAUDITED) --------------------------------------------------------------------------------
SHARES VALUE --------- ---------- COMMON STOCKS (CONTINUED) SOFTWARE (CONTINUED) 4,600 Oracle Corp.*................................... $ 51,612 100 SunGard Data Systems*........................... 2,631 ---------- 418,018 ---------- TELEPHONE -- 4.6% 2,300 AOL Time Warner, Inc.*.......................... 34,753 260 AT&T Corp. ..................................... 5,603 900 BellSouth Corp. ................................ 21,312 400 CenturyTel, Inc. ............................... 13,556 2,000 Comcast Corp., Class A*......................... 61,760 3,600 Qwest Communications International, Inc.*....... 12,240 1,700 SBC Communications, Inc. ....................... 37,825 1,700 Sprint Corp. ................................... 25,670 1,400 Verizon Communications, Inc. ................... 45,416 300 Yahoo!, Inc.*................................... 10,614 ---------- 268,749 ---------- TEXTILES -- 0.7% 400 Liz Claiborne, Inc. ............................ 13,620 500 NIKE, Inc. ..................................... 30,410 ---------- 44,030 ---------- TRANSPORTATION -- 1.3% 800 Burlington Northern Santa Fe Corp. ............. 23,096 200 Carnival Corp. ................................. 6,578 100 Norfolk Southern Corp. ......................... 1,850 300 Ryder Systems, Inc. ............................ 8,796 100 Union Pacific Corp. ............................ 5,817 500 United Parcel Service, Inc., Class B............ 31,900 ---------- 78,037 ---------- TRAVEL & ENTERTAINMENT -- 1.1% 1,700 Cendant Corp.*.................................. 31,773 600 McDonald's Corp. ............................... 14,124 100 Starbucks Corp.*................................ 2,880 600 YUM! Brands, Inc.*.............................. 17,772 ---------- 66,549 ----------
SHARES OR PRINCIPAL VALUE --------- ---------- COMMON STOCKS (CONTINUED) WHOLESALE -- 0.5% 200 Cardinal Health, Inc. .......................... $ 11,678 100 McKesson Corp. ................................. 3,329 500 Sysco Corp. .................................... 16,355 ---------- 31,362 ---------- TOTAL COMMON STOCKS............................. 5,746,849 ---------- REPURCHASE AGREEMENTS -- 1.7% $99,255 Bear Stearns dated 9/30/03, due 10/1/03 at 0.96% with a maturity value of $99,257 (Fully collateralized by U.S. Treasury Bonds)........ 99,255 ---------- TOTAL REPURCHASE AGREEMENTS..................... 99,255 ---------- TOTAL INVESTMENTS (COST $5,972,039) (A) -- 99.3%.................................. 5,846,104 OTHER ASSETS IN EXCESS OF LIABILITIES -- 0.7%... 40,024 ---------- NET ASSETS -- 100.0%............................ $5,886,128 ==========
--------------- * Non-income producing security. (a) Represents cost for financial reporting, is substantially the same as federal income tax purposes, and differs from value by net unrealized depreciation of securities as follows: Unrealized appreciation................. $ 534,608 Unrealized depreciation................. (660,543) --------- Net unrealized depreciation............. $(125,935) =========
See accompanying notes to the financial statements. 45 AXA ROSENBERG INTERNATIONAL EQUITY FUND SCHEDULE OF PORTFOLIO INVESTMENTS -- SEPTEMBER 30, 2003 (UNAUDITED) --------------------------------------------------------------------------------
SHARES VALUE ------ ------------ COMMON STOCKS -- 94.5% AUSTRALIA -- 4.0% Banks -- 2.5% 2,664 Australia & New Zealand Banking Group, Ltd. .... $ 32,366 3,278 Commonwealth Bank of Australia.................. 61,459 3,090 National Australia Bank, Ltd. .................. 64,418 5,302 Westpac Banking Corp. .......................... 58,136 ---------- 216,379 ---------- Building -- 0.1% 1,837 Leighton Holdings, Ltd. ........................ 12,583 ---------- Chemicals -- 0.2% 2,456 Orica, Ltd. .................................... 19,948 ---------- Construction Materials -- 0.2% 4,339 Boral, Ltd. .................................... 15,389 ---------- Food -- 0.0% 1,591 Ridley Corp., Ltd. ............................. 1,583 ---------- Instruments -- 0.0% 470 Ansell, Ltd. ................................... 2,138 ---------- Insurance -- 0.1% 1,029 QBE Insurance Group, Ltd. ...................... 6,937 ---------- Media -- 0.1% 2,072 Austereo Group, Ltd. ........................... 1,963 1,949 Seven Network, Ltd. ............................ 7,559 2,130 Ten Network Holdings, Ltd. ..................... 3,532 ---------- 13,054 ---------- Metals -- 0.5% 3,494 BHP Billiton, Ltd. ............................. 24,974 326 Crane Group, Ltd. .............................. 2,317 6,704 Downer EDI, Ltd. ............................... 3,948 4,744 OneSteel, Ltd. ................................. 6,871 ---------- 38,110 ---------- Oil -- 0.1% 7,559 Oil Search, Ltd. ............................... 5,730 1,503 Santos, Ltd. ................................... 5,819 ---------- 11,549 ---------- Retail -- 0.0% 2,241 David Jones, Ltd. .............................. 2,230 1,537 Miller's Retail, Ltd. .......................... 1,862 ---------- 4,092 ---------- Transportation -- 0.0% 275 GrainCorp, Ltd.*................................ 2,438 ---------- Travel & Entertainment -- 0.2% 1,791 TABCORP Holdings, Ltd. ......................... 14,013 ---------- 358,213 ---------- AUSTRIA -- 0.2% Building -- 0.0% 91 BHS Vermoegensvewaltung*........................ 106 ---------- Metals -- 0.2% 285 voestalpine..................................... 10,107 ---------- Oil Distribution -- 0.0% 34 OMV............................................. 4,070 ---------- 14,283 ----------
SHARES VALUE ------ ------------ COMMON STOCKS (CONTINUED) BELGIUM -- 0.9% Banks -- 0.6% 1,010 Algemene Maatschappij voor Nijverheidskredit.... $ 41,026 650 Fortis.......................................... 11,059 ---------- 52,085 ---------- Retail -- 0.3% 705 Delhaize Group.................................. 28,735 ---------- 80,820 ---------- DENMARK -- 1.1% Banks -- 0.6% 3,463 Danske Bank..................................... 65,988 ---------- Biotechnology -- 0.3% 766 Novozymes, B Shares............................. 24,087 ---------- Food -- 0.1% 214 Danisco......................................... 8,055 ---------- Services -- 0.1% 104 ISS............................................. 4,714 ---------- 102,844 ---------- FINLAND -- 1.4% Airlines -- 0.1% 1,001 Finnair......................................... 5,689 ---------- Building -- 0.0% 1 YIT-Yhtyma...................................... 26 ---------- Chemicals -- 0.1% 1,298 Kemira.......................................... 12,093 ---------- Defense -- 0.1% 563 Wartsila Corp., Class B......................... 8,130 ---------- Drugs -- 0.1% 394 Orion-Yhtyma, Class B........................... 7,364 ---------- Electric Utilities -- 0.5% 5,592 Fortum.......................................... 48,385 ---------- Insurance -- 0.1% 521 Pohjola Group, D Shares......................... 10,132 ---------- Machinery -- 0.2% 1,400 Metso Corp. .................................... 13,858 ---------- Metals -- 0.0% 300 Rautaruukki*.................................... 1,747 ---------- Paper -- 0.2% 1,800 M-real, Class B................................. 16,392 ---------- 123,816 ---------- FRANCE -- 8.9% Airlines -- 0.3% 1,593 Air France...................................... 24,339 ---------- Autos -- 0.8% 1,625 PSA Peugeot Citroen............................. 69,053 ---------- Banks -- 2.5% 2,557 BNP Paribas..................................... 125,364 1,650 Societe Generale, Class A....................... 109,911 ---------- 235,275 ---------- Building -- 0.2% 159 Eiffage......................................... 15,285 ----------
See accompanying notes to the financial statements. 46 AXA ROSENBERG INTERNATIONAL EQUITY FUND SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- SEPTEMBER 30, 2003 (UNAUDITED) --------------------------------------------------------------------------------
SHARES VALUE ------ ------------ COMMON STOCKS (CONTINUED) FRANCE (CONTINUED) Chemicals -- 0.1% 1,673 Rhodia.......................................... $ 10,501 ---------- Drugs -- 1.0% 1,908 Aventis......................................... 98,989 ---------- Financial Investments -- 0.2% 58 Eurazeo......................................... 3,231 134 Societe Fonciere, Financiere et de Participations................................ 14,044 ---------- 17,275 ---------- Insurance -- 0.4% 841 CNP Assurances.................................. 38,255 ---------- Machinery -- 0.0% 8 Valeo........................................... 292 ---------- Media -- 0.6% 470 Havas........................................... 2,178 1,050 Lagardere S.C.A. ............................... 47,566 ---------- 49,744 ---------- Metals -- 0.0% 2 Nexans.......................................... 45 ---------- Oil -- International -- 0.3% 150 Total Fina Elf.................................. 22,639 ---------- Other Utilities -- 0.7% 2,702 Veolia Environment.............................. 59,912 ---------- Retail -- 0.0% 30 Rallye.......................................... 1,471 ---------- Soap & Cosmetics -- 0.5% 879 Christian Dior.................................. 43,781 ---------- Software -- 0.4% 810 Cap Gemini*..................................... 33,581 ---------- Wholesale -- 0.9% 2,160 Compagnie de Saint-Gobain....................... 79,412 ---------- 799,849 ---------- GERMANY -- 5.2% Autos -- 0.5% 1,001 Volkswagen...................................... 44,705 ---------- Building -- 0.1% 419 Bilfinger Berger................................ 11,764 ---------- Drugs -- 0.9% 1,287 Degussa......................................... 36,420 1,123 Merck KGaA...................................... 35,964 486 Schwarz Pharma.................................. 11,048 ---------- 83,432 ---------- Electric Utilities -- 0.7% 2,450 RWE............................................. 65,052 ---------- Instruments -- 0.2% 264 Fresenius....................................... 19,676 ---------- IT Hardware -- 0.7% 4,678 Infineon Technologies........................... 60,906 ---------- Metals -- 0.2% 1,636 ThyssenKrupp.................................... 21,891 ----------
SHARES VALUE ------ ------------ COMMON STOCKS (CONTINUED) GERMANY (CONTINUED) Miscellaneous Financial -- 1.9% 2,650 Deutsche Bank................................... $ 161,247 ---------- 468,673 ---------- GREECE -- 0.3% Banks -- 0.1% 120 Bank of Greece.................................. 13,234 ---------- Building -- 0.0% 535 Technical Olympic............................... 2,442 ---------- Telephone -- 0.2% 1,410 Hellenic Telecommunications Organization........ 15,402 ---------- 31,078 ---------- HONG KONG -- 2.2% Electric Utilities -- 0.1% 2,500 Hongkong Electric Holdings, Ltd. ............... 9,637 ---------- Media -- 0.2% 3,000 Kowloon Motor Bus Holdings, Ltd. ............... 14,450 ---------- Miscellaneous Financial -- 0.1% 4,000 BOC Hong Kong (Holdings), Ltd. ................. 5,785 1,000 Guoco Group, Ltd. .............................. 6,683 ---------- 12,468 ---------- Real Estate Development -- 1.0% 6,000 Sun Hung Kai Properties, Ltd. .................. 48,620 5,000 Swire Pacific, Ltd., Class A.................... 29,507 5,000 Wheelock and Co., Ltd. ......................... 5,650 ---------- 83,777 ---------- Retail -- 0.2% 3,000 Jardine Matheson Holdings, Ltd. ................ 21,600 ---------- Transportation -- 0.3% 15,000 MTR Corp., Ltd. ................................ 20,242 4,000 Orient Overseas International, Ltd. ............ 9,039 ---------- 29,281 ---------- Travel & Entertainment -- 0.1% 8,000 The Hongkong & Shanghai Hotels, Ltd. ........... 4,830 ---------- Wholesale -- 0.2% 7,000 Esprit Holdings, Ltd. .......................... 21,288 ---------- 197,331 ---------- IRELAND -- 0.1% Food -- 0.0% 1,619 Glanbia*........................................ 3,695 ---------- Machinery -- 0.1% 1,883 Kingspan Group, Ltd. ........................... 7,259 ---------- 10,954 ---------- ITALY -- 3.7% Banks -- 1.1% 12,000 Banca Nazionale del Lavoro*..................... 23,687 4,000 Banca Popolare di Milano Scrl................... 18,633 8,000 Capitalia*...................................... 19,192 3,904 Sanpaolo IMI.................................... 38,917 ---------- 100,429 ----------
See accompanying notes to the financial statements. 47 AXA ROSENBERG INTERNATIONAL EQUITY FUND SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- SEPTEMBER 30, 2003 (UNAUDITED) --------------------------------------------------------------------------------
SHARES VALUE ------ ------------ COMMON STOCKS (CONTINUED) ITALY (CONTINUED) Building -- 0.0% 2,760 Impregilo....................................... $ 1,681 28 Permasteelisa................................... 452 ---------- 2,133 ---------- Construction Materials -- 0.0% 123 Buzzi Unicem.................................... 1,246 ---------- Food -- 0.3% 7,986 Parmalat Finanziaria............................ 25,064 ---------- Oil -- International -- 2.1% 12,205 Eni............................................. 186,479 ---------- Other Utilities -- 0.1% 3,000 Snam Rete Gas................................... 11,564 ---------- Retail -- 0.1% 3,702 Ifil*........................................... 10,605 ---------- 337,520 ---------- JAPAN -- 22.2% Autos -- 1.5% 4,000 Daihatsu Motor Co., Ltd. ....................... 16,005 3,000 Fuji Heavy Industries, Ltd. .................... 15,361 3,000 Mazda Motor Corp. .............................. 7,573 500 Toyota Industries Corp. ........................ 9,399 2,900 Toyota Motor Corp. ............................. 85,145 ---------- 133,483 ---------- Banks -- 1.4% 100 Acom Co., Ltd. ................................. 4,485 2 Mitsubishi Tokyo Financial Group, Inc. ......... 12,621 500 Promise Co., Ltd................................ 21,930 500 Sanyo Shinpan Finance Co., Ltd. ................ 17,768 5 Sumitomo Mitsui Financial Group, Inc. .......... 20,141 300 Takefuji Corp. ................................. 19,201 5,000 The Joyo Bank, Ltd. ............................ 15,933 4 UFJ Holdings, Inc. ............................. 15,719 ---------- 127,798 ---------- Building -- 1.3% 600 Chudenko Corp. ................................. 7,782 500 Daito Trust Construction Co., Ltd. ............. 13,315 3,000 Daiwa House Industry Co., Ltd. ................. 27,365 2,000 Kandenko Co., Ltd. ............................. 7,161 3,000 Maeda Road Construction Co., Ltd. .............. 16,327 2,000 Nippon Hodo Co., Ltd. .......................... 10,939 6,000 Obayashi Corp. ................................. 24,437 2,000 Yurtec Corp. ................................... 7,107 ---------- 114,433 ---------- Cellular -- 0.5% 4 KDDI Corp. ..................................... 20,266 5 Nippon Telegraph & Telephone Corp. ............. 22,647 ---------- 42,913 ----------
SHARES VALUE ------ ------------ COMMON STOCKS (CONTINUED) JAPAN (CONTINUED) Chemicals -- 0.9% 3,000 Bridgestone Corp. .............................. $ 40,147 1,000 Kaneka Corp. ................................... 7,277 3,000 Mitsui Chemicals, Inc. ......................... 17,321 4,000 Toyo Tire & Rubber Co., Ltd. ................... 8,880 3,000 Yokohama Rubber Co., Ltd. ...................... 8,405 ---------- 82,030 ---------- Construction Materials -- 0.3% 2,000 Matsushita Electric Works, Ltd. ................ 13,875 2,000 NGK Spark Plug Co., Ltd. ....................... 17,365 ---------- 31,240 ---------- Drugs -- 2.2% 2,000 Daiichi Pharmaceuticals Co., Ltd. .............. 32,404 3,000 Kyowa Hakko Kogyo Co., Ltd. .................... 17,563 1,500 Sankyo Co., Ltd. ............................... 21,873 2,000 Taisho Pharmacuetical Co., Ltd. ................ 31,455 1,000 Takeda Chemical Industries, Ltd. ............... 36,432 2,000 Yamanouchi Pharmaceutical Co., Ltd. ............ 55,139 ---------- 194,866 ---------- Electric Utilities -- 1.0% 600 Chubu Electric Power Co., Inc. ................. 11,708 700 Kansai Electric Power Co., Inc. ................ 11,955 1,200 Kyushu Electric Power Co., Inc. ................ 19,711 400 Tohoku Electric Power Co., Inc. ................ 6,280 1,700 Tokyo Electric Power Co., Inc. ................. 36,370 ---------- 86,024 ---------- Food -- 0.5% 2,000 Kinki Coca-Cola Bottling Co., Ltd. ............. 12,227 500 Kirin Beverage Corp. ........................... 8,267 2,000 Mikuni Coca-Cola Bottling Co., Ltd. ............ 14,608 500 Nissin Food Products Co., Ltd. ................. 11,861 ---------- 46,963 ---------- Insurance -- 1.1% 2 Millea Holdings, Inc. .......................... 22,557 4,000 Mitsui Sumitomo Insurance Co., Ltd. ............ 29,075 3,000 Nipponkoa Insurance Co., Ltd. .................. 15,226 3,000 Sompo Japan Insurance, Inc. .................... 21,698 3,000 The Nisshin Fire & Marine Insurance Co., Ltd. ......................................... 7,734 ---------- 96,290 ---------- IT Hardware -- 2.2% 7,000 Hitachi, Ltd. .................................. 38,850 100 Hoya Corp. ..................................... 7,743 600 Kyocera Corp. .................................. 35,448 6,000 Matsushita Electric Industrial Co., Ltd. ....... 72,238 2,000 NEC Corp. ...................................... 15,038 100 Rohm Co., Ltd. ................................. 12,979 1,000 Sharp Corp. .................................... 14,635 ---------- 196,931 ---------- Liquor & Tobacco -- 0.6% 2,000 Asahi Breweries, Ltd. .......................... 14,752 3 Japan Tobacco, Inc. ............................ 19,603 3,000 Kirin Brewery Co., Ltd. ........................ 22,960 ---------- 57,315 ----------
See accompanying notes to the financial statements. 48 AXA ROSENBERG INTERNATIONAL EQUITY FUND SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- SEPTEMBER 30, 2003 (UNAUDITED) --------------------------------------------------------------------------------
SHARES VALUE ------ ------------ COMMON STOCKS (CONTINUED) JAPAN (CONTINUED) Machinery -- 0.8% 4,000 Fuji Electric Co., Ltd. ........................ $ 8,880 2,000 Makita Corp. ................................... 18,189 9,000 Mitsubishi Heavy Indstries, Ltd. ............... 26,102 2,000 Toyo Seikan Kaisha, Ltd. ....................... 22,235 ---------- 75,406 ---------- Media -- 0.6% 3,000 Dai Nippon Printing Co., Ltd. .................. 41,141 2,000 Toppan Printing Co., Ltd. ...................... 16,488 ---------- 57,629 ---------- Miscellaneous Financial -- 0.6% 2,000 Daiwa Securities Group, Inc. ................... 13,517 5,000 Nikko Cordial Corp. ............................ 26,585 6,000 Shinko Securities Co., Ltd.*.................... 15,468 ---------- 55,570 ---------- Office Machinery -- 1.8% 2,000 Canon, Inc. .................................... 97,748 2,000 Fuji Photo Film Co., Ltd. ...................... 58,721 2,000 Sanyo Electric Co., Ltd. ....................... 8,361 ---------- 164,830 ---------- Oil Distribution -- 0.4% 4,000 Nippon Oil Corp. ............................... 17,616 2,000 Showa Shell Sekiyu K.K. ........................ 14,627 ---------- 32,243 ---------- Paper -- 0.1% 3,000 Chuetsu Pulp & Paper Co., Ltd. ................. 6,633 1 Nippon Unipac Holding........................... 4,717 ---------- 11,350 ---------- Real Estate Development -- 0.4% 1,000 Mitsui Fudosan Co., Ltd. ....................... 8,862 3,000 Sumitomo Realty & Development Co., Ltd. ........ 23,390 ---------- 32,252 ---------- Retail -- 0.4% 1,000 Seven-Eleven Japan Co., Ltd. ................... 31,956 ---------- Services -- 0.2% 2,000 Aichi Toyota Motor Co., Ltd. ................... 21,931 ---------- Soap & Cosmetics -- 0.1% 400 ADERANS Co., Ltd. .............................. 7,895 ---------- Software -- 0.1% 2,000 Fujitsu, Ltd. .................................. 10,455 ---------- Telephone -- 1.1% 42 NTT DoCoMo, Inc. ............................... 102,636 ---------- Trade Co. -- 0.4% 9,000 Marubeni Corp. ................................. 14,018 3,000 Mitsui & Co., Ltd. ............................. 20,328 ---------- 34,346 ---------- Transportation -- 1.1% 12 East Japan Railway Co. ......................... 58,113 11 West Japan Railway Co. ......................... 42,241 ---------- 100,354 ----------
SHARES VALUE ------ ------------ COMMON STOCKS (CONTINUED) JAPAN (CONTINUED) Travel & Entertainment -- 0.6% 600 Heiwa Corp. .................................... $ 9,173 400 Nintendo Co., Ltd. ............................. 33,515 300 Sankyo Co., Ltd. ............................... 10,419 ---------- 53,107 ---------- 2,002,246 ---------- NETHERLANDS -- 4.2% Banks -- 1.2% 6,402 ABN AMRO Holding................................ 118,169 ---------- Building -- 0.1% 269 Heijmans........................................ 5,354 ---------- Cellular -- 0.8% 9,359 Koninklijke (Royal) KPN*........................ 70,081 ---------- Food -- 0.1% 100 Unilever........................................ 5,881 ---------- IT Hardware -- 1.5% 6,260 Koninklijke (Royal) Philips Electronics......... 141,865 ---------- Machinery -- 0.0% 108 Stork........................................... 1,755 ---------- Media -- 0.1% 210 VNU............................................. 6,155 ---------- Office Machinery -- 0.2% 1,042 Oce............................................. 14,367 ---------- Oil -- International -- 0.2% 337 Royal Dutch Petroleum Co. ...................... 14,799 ---------- 378,426 ---------- NEW ZEALAND -- 0.4% Durables -- 0.1% 927 Fisher & Paykel Appliances Holdings, Ltd. ...... 7,956 ---------- Electric Utilities -- 0.1% 3,843 Contact Energy, Ltd. ........................... 11,413 ---------- Food -- 0.2% 19,096 Carter Holt Harvey, Ltd. ....................... 19,395 574 Sanford, Ltd. .................................. 1,708 ---------- 21,103 ---------- 40,472 ---------- NORWAY -- 1.2% Oil -- 1.2% 600 Norsk Hydro ASA................................. 30,528 8,675 Statoil......................................... 77,763 ---------- 108,291 ---------- PORTUGAL -- 1.0% Electric Utilities -- 0.5% 18,000 Electricidade de Portugal....................... 41,295 ---------- Telephone -- 0.5% 6,070 Portugal Telecom, SGPS.......................... 47,997 ---------- 89,292 ---------- SINGAPORE -- 0.8% Building -- 0.1% 6,000 Keppel Corp., Ltd. ............................. 18,223 ----------
See accompanying notes to the financial statements. 49 AXA ROSENBERG INTERNATIONAL EQUITY FUND SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- SEPTEMBER 30, 2003 (UNAUDITED) --------------------------------------------------------------------------------
SHARES VALUE ------ ------------ COMMON STOCKS (CONTINUED) SINGAPORE (CONTINUED) Food -- 0.1% 7,000 Peoples Food Holdings, Ltd. .................... $ 3,766 8,000 Want Want Holdings, Ltd. ....................... 7,360 ---------- 11,126 ---------- IT Hardware -- 0.1% 5,000 ST Assembly Test Services, Ltd.*................ 7,174 ---------- Office Machinery -- 0.1% 600 Creative Technology, Ltd. ...................... 6,560 ---------- Real Estate Development -- 0.1% 8,000 Allgreen Properties, Ltd. ...................... 4,721 5,000 Keppel Land, Ltd. .............................. 4,628 10,000 The Ascott Group, Ltd. ......................... 2,488 ---------- 11,837 ---------- Retail -- 0.1% 3,000 Cerebos Pacific, Ltd. .......................... 5,658 ---------- Telephone -- 0.1% 5,000 Singapore Telecommunications, Ltd. ............. 4,802 ---------- Travel & Entertainment -- 0.1% 3,000 Hotel Properties, Ltd. ......................... 1,822 20,000 Raffles Holdings, Ltd. ......................... 5,959 ---------- 7,781 ---------- 73,161 ---------- SPAIN -- 4.1% Airlines -- 0.2% 9,538 Iberia Lineas Aereas de Espana.................. 19,660 ---------- Banks -- 1.4% 14,976 Banco Santander Central Hispano................. 126,965 ---------- Building -- 0.2% 276 Fomento de Construcciones y Contratas........... 8,521 977 Obrascon Huarte Lain............................ 5,518 ---------- 14,039 ---------- Construction Materials -- 0.0% 19 Cementos Portland............................... 960 ---------- Electric Utilities -- 0.2% 1,100 Endesa.......................................... 16,999 ---------- Telephone -- 2.1% 16,140 Telefonica...................................... 190,591 ---------- 369,214 ---------- SWEDEN -- 2.2% Banks -- 0.4% 6,263 Nordea.......................................... 35,706 ---------- Building -- 0.0% 331 NCC, Class A.................................... 1,981 232 Skanska, Class B................................ 1,476 ---------- 3,457 ---------- Cellular -- 1.6% 967 Tele2 AB, B shares*............................. 42,253 22,606 TeliaSonera..................................... 98,192 ---------- 140,445 ----------
SHARES VALUE ------ ------------ COMMON STOCKS (CONTINUED) SWEDEN (CONTINUED) Instruments -- 0.2% 2,800 Gambro, A Shares................................ $ 19,185 ---------- 198,793 ---------- SWITZERLAND -- 5.6% Airlines -- 0.0% 30 Swissair Group*................................. 2 ---------- Biotechnology -- 0.4% 49 Serono, Class B................................. 32,058 ---------- Chemicals -- 0.9% 513 Ciba Specialty Chemicals........................ 34,787 823 Syngenta........................................ 44,621 ---------- 79,408 ---------- Drugs -- 2.6% 183 Novartis........................................ 7,081 2,800 Roche Holding................................... 232,167 ---------- 239,248 ---------- Food -- 0.1% 1 Barry Callebaut................................. 151 37 Nestle.......................................... 8,532 ---------- 8,683 ---------- Household -- 0.5% 2,367 Swatch Group.................................... 45,437 ---------- Insurance -- 0.2% 132 Swiss Life Holdings*............................ 17,992 ---------- Machinery -- 0.3% 2,804 Abb, Ltd.*...................................... 15,500 150 Saurer.......................................... 5,452 22 Sulzer.......................................... 4,190 ---------- 25,142 ---------- Miscellaneous Financial -- 0.6% 1,674 Credit Suisse Group............................. 53,556 ---------- Services -- 0.0% 4 Kuoni Reisen Holding............................ 1,133 ---------- 502,659 ---------- UNITED KINGDOM -- 24.8% Aircraft -- 0.0% 1,498 BAE SYSTEMS..................................... 4,181 ---------- Airlines -- 0.2% 5,231 BBA Group....................................... 21,271 ---------- Autos -- 0.1% 1,343 Lex Service..................................... 12,350 ---------- Banks -- 6.3% 9,317 Barclays........................................ 71,476 14,627 HBOS............................................ 167,192 6,116 HSBC Holdings................................... 80,629 9,700 Royal Bank of Scotland Group.................... 246,567 ---------- 565,864 ---------- Building -- 1.8% 2,692 Barratt Developments............................ 22,720 1,211 Bellway......................................... 12,072 2,000 Berkeley Group.................................. 26,102 1,125 Bovis Homes Group............................... 8,957
See accompanying notes to the financial statements. 50 AXA ROSENBERG INTERNATIONAL EQUITY FUND SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- SEPTEMBER 30, 2003 (UNAUDITED) --------------------------------------------------------------------------------
SHARES VALUE ------ ------------ COMMON STOCKS (CONTINUED) UNITED KINGDOM (CONTINUED) Building (continued) 3,991 George Wimpey................................... $ 24,202 1,426 Mowlem.......................................... 4,790 2,801 Persimmon....................................... 25,036 6,000 Taylor Woodrow.................................. 23,077 1,271 Westbury........................................ 8,605 412 Wilson Bowden................................... 7,204 ---------- 162,765 ---------- Cellular -- 3.1% 51,275 mm02*........................................... 48,770 115,089 Vodafone Group.................................. 229,450 ---------- 278,220 ---------- Construction Materials -- 0.5% 6,686 Aggregate Industries............................ 9,470 5,159 Hanson.......................................... 32,677 228 RMC Group....................................... 2,258 ---------- 44,405 ---------- Drugs -- 0.7% 2,905 GlaxoSmithKline................................. 60,281 413 Shire Pharmaceuticals Group*.................... 2,992 ---------- 63,273 ---------- Food -- 1.6% 16,705 Unilever*....................................... 142,654 ---------- Insurance -- 1.2% 8,630 Aviva........................................... 66,958 24,539 Old Mutual...................................... 37,813 ---------- 104,771 ---------- Machinery -- 0.5% 5,829 Novar........................................... 13,413 4,447 Rexam........................................... 29,331 ---------- 42,744 ---------- Media -- 1.0% 6,245 Pearson......................................... 59,166 3,000 Trinity Mirror.................................. 28,035 ---------- 87,201 ---------- Oil -- 0.2% 2,405 Xstrata......................................... 18,560 ---------- Oil -- International -- 2.4% 13,800 BP.............................................. 94,690 19,500 Shell Transport & Trading Co. .................. 120,356 ---------- 215,046 ----------
SHARES VALUE ------ ------------ COMMON STOCKS (CONTINUED) UNITED KINGDOM (CONTINUED) Other Utilities -- 0.7% 518 Kelda Group..................................... $ 3,643 1,505 Pennon Group.................................... 14,877 2,772 Severn Trent.................................... 30,925 2,000 United Utilities................................ 15,252 ---------- 64,697 ---------- Paper -- 1.2% 6,000 Anglo American.................................. 107,758 ---------- Retail -- 1.2% 12,000 J Sainsbury..................................... 54,078 2,746 lastminute.com*................................. 11,634 2,121 Monsoon......................................... 4,775 5,763 Somerfield...................................... 11,825 3,000 WH Smith........................................ 18,591 15,020 Woolworths Group................................ 11,042 ---------- 111,945 ---------- Services -- 0.5% 10,000 Reuters Group................................... 35,263 7,650 Securicor....................................... 10,613 ---------- 45,876 ---------- Soap & Cosmetics -- 0.1% 3,000 Body Shop International......................... 6,003 ---------- Telephone -- 1.5% 46,241 BT Group........................................ 138,285 ---------- Transportation -- 0.0% 428 Arriva.......................................... 2,809 ---------- 2,240,678 ---------- TOTAL INVESTMENTS (COST $7,776,306) (A) -- 94.5%.................................. 8,528,613 OTHER ASSETS IN EXCESS OF LIABILITIES -- 5.5%... 492,907 ---------- NET ASSETS -- 100.0%............................ $9,021,520 ==========
--------------- * Non-income producing security. (a) Represents cost for financial reporting purposes, is substantially the same as federal income tax purposes, and differs from value by net unrealized appreciation of securities as follows: Unrealized appreciation................. $ 937,459 Unrealized depreciation................. (185,152) --------- Net unrealized appreciation............. $ 752,307 =========
FORWARD CROSS-CURRENCY EXCHANGE CONTRACTS
CONTRACT UNREALIZED DELIVERY AMOUNT APPRECIATION/ DATE (LOCAL CURRENCY) (DEPRECIATION) -------- ---------------- -------------- Receive Swiss Francs in Exchange For Euro 1,821 10/02/03 2,800 $ (1) Deliver Australian Dollars in Exchange for U.S. Dollars 26,720 10/01/03 40,000 $ (354) Deliver Euro in Exchange for U.S. Dollars 224,000 10/01/03 196,388 $(4,704)
See accompanying notes to the financial statements. 51 AXA ROSENBERG INTERNATIONAL SMALL CAPITALIZATION FUND SCHEDULE OF PORTFOLIO INVESTMENTS -- SEPTEMBER 30, 2003 (UNAUDITED) --------------------------------------------------------------------------------
SHARES VALUE ---------- ------------ COMMON STOCKS -- 92.0% AUSTRALIA -- 4.3% Airlines -- 0.2% 129,805 Macquarie Airports.............................. $ 152,874 ----------- Banks -- 0.2% 11,354 Adelaide Bank, Ltd. ............................ 63,862 15,484 Bendingo Bank, Ltd. ............................ 95,371 ----------- 159,233 ----------- Building -- 0.1% 19,441 Hills Industries, Ltd. ......................... 48,555 900 Leighton Holdings, Ltd. ........................ 6,165 ----------- 54,720 ----------- Chemicals -- 0.1% 21,018 Nufarm, Ltd. ................................... 67,574 ----------- Construction Materials -- 0.1% 73,001 Adelaide Brighton, Ltd. ........................ 68,187 13,011 Boral, Ltd. .................................... 46,146 ----------- 114,333 ----------- Drugs -- 0.1% 6,162 Arrow Pharmaceuticals, Ltd.*.................... 32,949 40,660 Mayne Group, Ltd. .............................. 90,543 ----------- 123,492 ----------- Financial Investments -- 0.0% 1 Challenger Financial Services Group............. 0 ----------- Food -- 0.0% 38,114 Ridley Corp., Ltd. ............................. 37,922 ----------- Health -- 0.0% 10,313 Ramsay Health Care, Ltd. ....................... 30,365 ----------- Household -- 0.1% 31,811 GWA International, Ltd. ........................ 62,225 ----------- Instruments -- 0.1% 24,698 Ansell, Ltd. ................................... 112,337 ----------- Liquor & Tobacco -- 0.1% 16,829 McGuigan Simeon Wines, Ltd. .................... 55,245 ----------- Media -- 0.6% 53,984 APN News & Media, Ltd. ......................... 130,079 69,870 Austereo Group, Ltd. ........................... 66,208 12,485 Prime Television, Ltd. ......................... 20,281 34,686 Seven Network, Ltd. ............................ 134,525 9,038 Southern Cross Broadcasting, Ltd. .............. 58,054 54,588 Ten Network Holdings, Ltd. ..................... 90,522 9,535 Village Roadshow, Ltd.*......................... 9,423 ----------- 509,092 ----------- Metals -- 0.7% 8,987 Crane Group, Ltd. .............................. 63,870 127,852 Downer EDI, Ltd. ............................... 75,287 15,710 Newcrest Mining, Ltd. .......................... 116,542 6 Newmont Mining Corp. ........................... 23 76,001 OneSteel, Ltd. ................................. 110,084 122,188 Smorgon Steel Group, Ltd. ...................... 101,725 43,220 Ticor, Ltd. .................................... 40,955 5,408 Zimbabwe Platinum Mines, Ltd.*.................. 14,825 ----------- 523,311 -----------
SHARES VALUE ---------- ------------ COMMON STOCKS (CONTINUED) AUSTRALIA (CONTINUED) Miscellaneous Financial -- 0.2% 47,296 Computershare, Ltd. ............................ $ 84,832 21,560 Djerriwarrh Investments, Ltd. .................. 50,054 ----------- 134,886 ----------- Oil -- 0.1% 79,233 Oil Search, Ltd. ............................... 60,065 8,675 Washington H. Soul Pattinson & Co., Ltd......... 36,404 ----------- 96,469 ----------- Oil Distribution -- 0.1% 38,237 Caltex Australia, Ltd. ......................... 98,864 ----------- Other Utilities -- 0.0% 12,782 Australian Pipeline Trust....................... 23,532 ----------- Real Estate Development -- 0.1% 65,704 Australand Holdings, Ltd. ...................... 77,381 49,477 Thakral Holdings Group.......................... 19,758 ----------- 97,139 ----------- Retail -- 0.1% 60,326 David Jones, Ltd. .............................. 60,022 25,821 Miller's Retail, Ltd. .......................... 31,284 ----------- 91,306 ----------- Services -- 0.4% 24,466 Awb, Ltd. ...................................... 65,246 11,298 Flight Centre, Ltd. ............................ 168,158 29,051 Spotless Group, Ltd. ........................... 101,659 5,001 Transfield Services, Ltd. ...................... 12,490 ----------- 347,553 ----------- Software -- 0.1% 22,006 SFE Corp., Ltd. ................................ 64,047 ----------- Transportation -- 0.1% 2,000 GrainCorp, Ltd.*................................ 17,733 20,447 Transurban Group................................ 59,095 ----------- 76,828 ----------- Travel & Entertainment -- 0.2% 55,779 Tab, Ltd. ...................................... 125,343 ----------- Wholesale -- 0.5% 22,657 Australian Pharmaceutical Industries, Ltd....... 39,259 19,832 Lion Nathan, Ltd. .............................. 71,815 44,242 PaperlinX, Ltd. ................................ 162,303 17,745 Sigma Co., Ltd. ................................ 81,913 12,219 Sims Group, Ltd. ............................... 86,012 ----------- 441,302 ----------- 3,599,992 ----------- AUSTRIA -- 1.5% Airlines -- 0.5% 56,745 Austrian Airlines*.............................. 439,448 ----------- Metals -- 0.3% 7,166 voestalpine..................................... 254,110 ----------- Oil Distribution -- 0.7% 4,283 OMV............................................. 512,743 ----------- 1,206,301 -----------
See accompanying notes to the financial statements. 52 AXA ROSENBERG INTERNATIONAL SMALL CAPITALIZATION FUND SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- SEPTEMBER 30, 2003 (UNAUDITED) --------------------------------------------------------------------------------
SHARES VALUE ---------- ------------ COMMON STOCKS (CONTINUED) BELGIUM -- 0.8% Banks -- 0.6% 110 Banque Nationale de Belgique.................... $ 514,900 ----------- Building -- 0.1% 200 Compagnie Francois d'Entreprises................ 44,253 ----------- Financial Investments -- 0.1% 9,470 Econocom Group.................................. 53,156 ----------- Machinery -- 0.0% 90 Picanol......................................... 2,547 ----------- Media -- 0.0% 455 Concentra New*.................................. 3,630 ----------- Services -- 0.0% 2,381 Solvus*......................................... 19,493 ----------- Software -- 0.0% 1,397 Telindus Group*................................. 11,518 ----------- 649,497 ----------- CANADA -- 5.3% Airlines -- 0.1% 3,500 CHC Helicopter Corp., Class A................... 69,199 ----------- Autos -- 0.0% 500 Tesma International, Inc., Class A.............. 11,342 ----------- Banks -- 0.1% 5,400 Laurentian Bank of Canada....................... 106,844 ----------- Biotechnology -- 0.1% 5,100 QLT, Inc.*...................................... 81,822 ----------- Chemicals -- 0.2% 16,400 Methanex Corp. ................................. 153,129 ----------- Drugs -- 0.1% 7,400 Axcan Pharma, Inc.*............................. 100,242 ----------- Electric Utilities -- 0.1% 3,300 ATCO, Ltd., Class I............................. 113,419 100 Fortis, Inc. ................................... 4,113 ----------- 117,532 ----------- Food -- 0.2% 5,000 Canada Bread Co., Ltd. ......................... 92,075 8,200 Maple Leaf Foods, Inc. ......................... 63,196 ----------- 155,271 ----------- Household -- 0.0% 700 Dorel Industries , Inc., Class B*............... 20,241 ----------- Insurance -- 0.4% 800 E-L Financial Corp., Ltd. ...................... 177,850 1,000 Fairfax Financial Holdings, Ltd. ............... 155,997 ----------- 333,847 ----------- Machinery -- 0.2% 16,700 Linamar Corp. .................................. 139,223 ----------- Media -- 0.5% 5,600 Alliance Atlantis Communications, Inc.*......... 88,392 700 Astral Media, Inc. ............................. 12,973 4,600 Cinram International, Inc. ..................... 85,049 4,000 Corus Entertainment Inc., B Shares*............. 69,658
SHARES VALUE ---------- ------------ COMMON STOCKS (CONTINUED) CANADA (CONTINUED) Media (continued) 700 Torstar Corp., Class B.......................... $ 13,492 11,900 Transcontinental Inc., Class A.................. 177,251 ----------- 446,815 ----------- Metals -- 1.2% 5,100 Cameco Corp. ................................... 177,704 3,000 Dofasco, Inc. .................................. 64,804 13,200 Falconbridge, Ltd. ............................. 219,795 25,900 Kinross Gold Corp.*............................. 195,961 21,600 Teck Cominco, Ltd., Class B..................... 230,653 ----------- 888,917 ----------- Miscellaneous Financial -- 0.2% 13,700 CI Fund Management, Inc. ....................... 141,421 ----------- Office Machinery -- 0.4% 11,600 ATI Technologies, Inc.*......................... 173,125 18,700 Creo, Inc.*..................................... 195,668 ----------- 368,793 ----------- Oil -- 0.3% 428 Paramount Energy Trust.......................... 3,400 10,300 PetroKazakhstan, Inc., Class A*................. 215,396 ----------- 218,796 ----------- Oil Distribution -- 0.1% 8,000 ShawCor, Ltd. .................................. 84,182 ----------- Paper -- 0.4% 13,400 Cascades, Inc. ................................. 130,579 1,800 Domtar, Inc. ................................... 20,302 10,600 Nexfor, Inc. ................................... 75,801 2,100 Tembec, Inc.*................................... 12,683 4,840 West Fraser Timber Co., Ltd. ................... 128,043 ----------- 367,408 ----------- Real Estate Investment Trust -- 0.1% 2,700 BPO Properties, Ltd. ........................... 61,765 ----------- Retail -- 0.0% 800 Empire Co., Ltd., Class A....................... 15,426 ----------- Soap & Cosmetics -- 0.2% 12,500 CCL Industries, Inc., Class B................... 178,777 ----------- Software -- 0.2% 11,100 CGI Group, Inc.*................................ 64,242 2,300 Cognos, Inc.*................................... 71,704 ----------- 135,946 ----------- Telephone -- 0.0% 1,800 Cogeco Cable, Inc.*............................. 24,010 ----------- Wholesale -- 0.2% 6,200 Canadian Tire Corp., Class A.................... 166,320 ----------- 4,387,268 ----------- CHINA -- 0.7% Banks -- 0.1% 89,000 Industrial & Commercial Bank of China, Ltd...... 106,886 -----------
See accompanying notes to the financial statements. 53 AXA ROSENBERG INTERNATIONAL SMALL CAPITALIZATION FUND SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- SEPTEMBER 30, 2003 (UNAUDITED) --------------------------------------------------------------------------------
SHARES VALUE ---------- ------------ COMMON STOCKS (CONTINUED) CHINA (CONTINUED) Building -- 0.3% 106,000 Shanghai Industrial Holdings, Ltd. ............. $ 190,953 ----------- Liquor & Tobacco -- 0.1% 88,000 Beijing Enterprises Holdings, Ltd. ............. 95,457 ----------- Real Estate Development -- 0.1% 715,000 China Overseas Land & Investment, Ltd........... 105,258 ----------- Transportation -- 0.1% 175,000 GZI Transport, Ltd. ............................ 48,587 ----------- 547,141 ----------- DENMARK -- 2.4% Banks -- 0.5% 9,200 Jyske Bank*..................................... 395,345 ----------- Biotechnology -- 0.9% 22,550 Novozymes, B Shares............................. 709,087 ----------- Food -- 0.3% 5,394 Aarhus Oliefabrik............................... 274,936 ----------- Services -- 0.6% 10,681 ISS............................................. 484,114 ----------- Transportation -- 0.1% 945 D/S Norden...................................... 94,853 ----------- 1,958,335 ----------- FINLAND -- 3.2% Airlines -- 0.9% 115,827 Finnair......................................... 658,244 ----------- Cellular -- 0.5% 46,854 Elisa, A Shares*................................ 446,878 ----------- Chemicals -- 0.2% 20,653 Kemira.......................................... 192,412 ----------- Household -- 0.1% 2,000 Hackman Oyj Abp................................. 66,030 ----------- Insurance -- 0.1% 2,730 Pohjola Group plc, D Shares..................... 53,093 ----------- Machinery -- 0.3% 24,900 Metso Corp. .................................... 246,477 ----------- Paper -- 0.7% 66,895 M-real, Class B................................. 609,198 ----------- Real Estate Development -- 0.4% 381,400 Polar Real Estate Corp.*........................ 364,211 ----------- 2,636,543 ----------- FRANCE -- 9.2% Airlines -- 0.2% 11,565 Air France...................................... 176,700 ----------- Autos -- 0.0% 42 Faurecia........................................ 2,690 ----------- Banks -- 0.0% 8 Caisse Regionale de Credit Agricole Mutuel d'Ille-et-Villaine............................ 658 ----------- Building -- 0.1% 966 Eiffage......................................... 92,865 -----------
SHARES VALUE ---------- ------------ COMMON STOCKS (CONTINUED) FRANCE (CONTINUED) Cellular -- 0.3% 4,237 Radiall*........................................ $ 264,226 ----------- Chemicals -- 0.4% 49,046 Rhodia.......................................... 307,858 ----------- Construction Materials -- 0.0% 310 SA des Ciments Vicat............................ 23,285 ----------- Financial Investments -- 0.7% 552 Francarep....................................... 44,934 4,962 Societe Fonciere, Financiere et Participationsde Participations................................ 520,065 ----------- 564,999 ----------- Food -- 0.4% 588 Sucriere de Pithiviers Le Vieil................. 341,077 ----------- Household -- 0.0% 924 Plastic Omnium.................................. 39,060 ----------- Instruments -- 0.1% 2,148 Guerbet......................................... 100,033 ----------- IT Hardware -- 0.5% 66,431 Oberthur Card Systems*.......................... 441,738 ----------- Machinery -- 0.2% 3,390 Carbone Lorraine................................ 109,157 1,400 Valeo........................................... 51,112 ----------- 160,269 ----------- Media -- 0.5% 94,610 Havas........................................... 438,509 ----------- Metals -- 0.8% 29,706 Nexans.......................................... 674,585 ----------- Oil Distribution -- 0.0% 71 Esso S.A.F...................................... 7,107 ----------- Paper -- 0.1% 35 Exacompta Clairefontaine........................ 5,930 12,940 Otor*........................................... 55,757 28 Sical*.......................................... 747 ----------- 62,434 ----------- Real Estate Development -- 0.1% 2,146 Affine.......................................... 114,960 ----------- Retail -- 1.3% 18,220 Etam............................................ 509,234 10,707 Rallye.......................................... 524,938 ----------- 1,034,172 ----------- Services -- 0.9% 15,600 Cie Generale de Geophysique*.................... 353,348 915 Groupe ONET..................................... 187,752 17,421 Synergie........................................ 241,423 ----------- 782,523 ----------- Software -- 1.1% 443,641 Gemplus International*.......................... 764,630 1,063 Groupe Steria SCA............................... 29,091 ----------- 793,721 -----------
See accompanying notes to the financial statements. 54 AXA ROSENBERG INTERNATIONAL SMALL CAPITALIZATION FUND SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- SEPTEMBER 30, 2003 (UNAUDITED) --------------------------------------------------------------------------------
SHARES VALUE ---------- ------------ COMMON STOCKS (CONTINUED) FRANCE (CONTINUED) Transportation -- 1.5% 6,817 Bollore Investissement.......................... $ 339,381 13,261 Geodis*......................................... 571,396 8,182 Norbert Dentressangle........................... 280,133 ----------- 1,190,910 ----------- 7,614,379 ----------- GERMANY -- 7.5% Building -- 1.2% 16,243 Bilfinger Berger................................ 456,059 17,410 Hochtief........................................ 314,867 3,915 Strabag Beteiligungs*........................... 187,384 ----------- 958,310 ----------- Chemicals -- 1.1% 12,143 Celanese........................................ 396,659 46,040 MG Technolgies.................................. 541,520 ----------- 938,179 ----------- Drugs -- 0.4% 15,349 Schwarz Pharma.................................. 348,914 ----------- Food -- 0.7% 13,858 BayWa........................................... 148,957 1,004 Oelmuehle Hamburg............................... 427,930 ----------- 576,887 ----------- Instruments -- 0.8% 9,310 Fresenius....................................... 693,885 ----------- Insurance -- 0.1% 4,180 Wuerttembergische Lebensversicherung............ 70,583 ----------- IT Hardware -- 0.0% 809 ADCapital*...................................... 5,794 ----------- Machinery -- 1.0% 58,312 Gildemeister*................................... 390,467 3,529 KSB............................................. 410,970 700 Varta........................................... 9,089 ----------- 810,526 ----------- Media -- 0.2% 10,630 Schlott Sebaldus................................ 169,595 ----------- Miscellaneous Financial -- 0.8% 253,462 Bankgesellschaft Berlin*........................ 643,469 ----------- Office Machinery -- 0.5% 161 Heidelberger Druckmaschinen*.................... 4,669 58,093 Maxdata......................................... 372,087 ----------- 376,756 ----------- Services -- 0.5% 71,790 Evotec OAI*..................................... 438,916 ----------- Textiles -- 0.2% 14,698 Ahlers.......................................... 166,031 ----------- 6,197,845 -----------
SHARES VALUE ---------- ------------ COMMON STOCKS (CONTINUED) GREECE -- 1.3% Banks -- 1.1% 5,056 Bank of Greece.................................. $ 557,591 15,620 Commercial Bank of Greece....................... 297,957 ----------- 855,548 ----------- Other Utilities -- 0.2% 32,510 EYDAP Athens Water Supply & Sewage Co........... 204,441 ----------- Real Estate Development -- 0.0% 4,273 Michaniki....................................... 10,798 ----------- 1,070,787 ----------- HONG KONG -- 3.8% Airlines -- 0.1% 22,000 Hong Kong Aircraft Engineering Co., Ltd......... 85,229 ----------- Banks -- 0.7% 30,000 Asia Financial Holdings, Ltd. .................. 7,206 8,800 Dah Sing Financial Group........................ 53,865 113,000 International Bank of Asia...................... 52,897 40,000 JCG Holdings, Ltd............................... 28,668 56,000 Liu Chong Hing Bank, Ltd. ...................... 83,163 32,000 Wing Hang Bank, Ltd. ........................... 169,426 32,000 Wing Lung Bank, Ltd. ........................... 188,435 ----------- 583,660 ----------- Cellular -- 0.1% 75,000 SmarTone Telecommunications Holdings, Ltd....... 116,706 ----------- Durables -- 0.1% 343,000 Skyworth Digital Holdings, Ltd. ................ 67,769 ----------- Financial Investments -- 0.0% 84,000 Peregrine Investments Holdings, Ltd. (b)* ...... 0 ----------- IT Hardware -- 0.0% 150,000 IDT International, Ltd. ........................ 21,307 ----------- Liquor & Tobacco -- 0.0% 36,000 San Miguel Brewery Hong Kong, Ltd............... 9,065 ----------- Machinery -- 0.1% 59,000 Chen Hsong Holdings, Ltd. ...................... 36,380 45,000 Lam Soon (Hong Kong), Ltd.*..................... 15,981 ----------- 52,361 ----------- Media -- 0.1% 50,000 Next Media, Ltd.*............................... 22,599 118,000 Oriental Press Group, Ltd. ..................... 37,714 ----------- 60,313 ----------- Office Machinery -- 0.1% 170,000 TPV Technology, Ltd. ........................... 85,617 ----------- Real Estate Development -- 1.5% 4,000 China Motor Bus Co., Ltd. ...................... 24,123 303,000 Chinese Estates Holdings, Ltd. ................. 103,689 79,000 Great Eagle Holdings, Ltd. ..................... 90,795 154,000 Hang Lung Group, Ltd. .......................... 184,949 52,000 Henderson China Holdings, Ltd. ................. 25,517 192,000 HKR International, Ltd.*........................ 64,464
See accompanying notes to the financial statements. 55 AXA ROSENBERG INTERNATIONAL SMALL CAPITALIZATION FUND SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- SEPTEMBER 30, 2003 (UNAUDITED) --------------------------------------------------------------------------------
SHARES VALUE ---------- ------------ COMMON STOCKS (CONTINUED) HONG KONG (CONTINUED) Real Estate Development (continued) 50,000 Hong Kong Ferry (Holdings) Co., Ltd............. $ 43,260 52,000 Hopewell Holdings, Ltd. ........................ 77,559 132,000 Hysan Development Co., Ltd. .................... 170,459 8,000 Miramar Hotel and Investment Co., Ltd........... 7,490 268,000 New Asia Realty & Trust Co., Ltd. .............. 113,342 260,000 New World China Land, Ltd. ..................... 68,829 202,000 Shun Tak Holdings, Ltd. ........................ 74,995 431,000 Sino Land Co., Ltd. ............................ 233,762 12,000 Wing On Co. International, Ltd. ................ 9,685 ----------- 1,292,918 ----------- Retail -- 0.0% 60,000 Glorious Sun Enterprises, Ltd. ................. 16,465 8,000 YGM Trading, Ltd. .............................. 4,494 ----------- 20,959 ----------- Software -- 0.2% 145,000 Digital China Holdings, Ltd. ................... 46,812 313,000 SUNeVision Holdings, Ltd.*...................... 79,626 ----------- 126,438 ----------- Telephone -- 0.0% 28,000 i-Cable Communications, Ltd. ................... 6,545 ----------- Transportation -- 0.2% 66,000 Orient Overseas International, Ltd. ............ 149,151 35,000 Road King Infrastructure, Ltd. ................. 23,051 46,000 Star Cruises, Ltd.*............................. 14,257 ----------- 186,459 ----------- Travel & Entertainment -- 0.5% 260,000 Golden Harvest Entertainment Holdings), Ltd.*... 10,073 56,000 Harbour Center Development, Ltd.*............... 57,491 150,000 Hongkong & Shanghai Hotels, Ltd. ............... 90,556 261,000 Shangri-La Asia, Ltd. .......................... 227,505 ----------- 385,625 ----------- Wholesale -- 0.1% 282,000 Tan Chong International, Ltd. .................. 49,890 ----------- 3,150,861 ----------- IRELAND -- 0.1% Instruments -- 0.0% 2,606 Trinity Biotech plc*............................ 10,318 ----------- Media -- 0.1% 47,062 Independent News & Media........................ 91,526 ----------- 101,844 -----------
SHARES VALUE ---------- ------------ COMMON STOCKS (CONTINUED) ITALY -- 6.8% Banks -- 1.5% 191,175 Banca Nazionale del Lavoro*..................... $ 377,363 122,688 Banca Popolare di Milano Scrl................... 571,506 98,170 Capitalia*...................................... 235,507 1,150 Credito Bergamasco.............................. 21,896 ----------- 1,206,272 ----------- Building -- 0.0% 30,459 Impregilo....................................... 18,551 ----------- Construction Materials -- 1.2% 56,856 Buzzi Unicem.................................... 576,041 6,400 Italcementi..................................... 73,562 8,100 Italmobiliare................................... 359,675 ----------- 1,009,278 ----------- Food -- 0.6% 697 Edison*......................................... 1,095 168,859 Parmalat Finanziaria............................ 529,958 ----------- 531,053 ----------- Insurance -- 0.4% 16,662 Fondiaria -- Sai................................ 284,264 21,232 Premafin Finanziaria*........................... 20,869 ----------- 305,133 ----------- IT Hardware -- 0.4% 16,207 Ericsson........................................ 364,454 ----------- Media -- 0.9% 117,666 Compagnia Finanziaria De Benedetti.............. 68,788 386,000 Compagnie Industriali Riunite................... 548,410 51,054 Holding di Partecipazioni Industriali*.......... 149,826 344 Poligrafici Editoriale*......................... 643 ----------- 767,667 ----------- Metals -- 0.9% 306,804 Generale Industrie Metallurgiche................ 248,316 1,335,000 Societa Metallurgica Italiana................... 478,839 ----------- 727,155 ----------- Miscellaneous Financial -- 0.0% 251 Mittel.......................................... 1,117 ----------- Real Estate Development -- 0.0% 825 I Viaggi del Ventaglio*......................... 2,018 ----------- Retail -- 0.3% 78,000 Ifil*........................................... 223,454 ----------- Soap & Cosmetics -- 0.1% 8,544 Mirato.......................................... 55,819 ----------- Telephone -- 0.2% 130,017 Sirti*.......................................... 170,489 ----------- Textiles -- 0.1% 11,138 Vincenzo Zucchi................................. 53,699 ----------- Transportation -- 0.2% 128,994 Premuda......................................... 176,358 ----------- 5,612,517 -----------
See accompanying notes to the financial statements. 56 AXA ROSENBERG INTERNATIONAL SMALL CAPITALIZATION FUND SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- SEPTEMBER 30, 2003 (UNAUDITED) --------------------------------------------------------------------------------
SHARES VALUE ---------- ------------ COMMON STOCKS (CONTINUED) JAPAN -- 16.3% Autos -- 0.8% 10,000 Aichi Machine Industry Co., Ltd. ............... $ 21,752 2,000 Chuo Malleable Iron Co., Ltd. .................. 4,834 3,000 Fuji Univance Corp. ............................ 7,251 3,000 Hirata Technical Co., Ltd. ..................... 11,037 15,000 Kanto Auto Works, Ltd. ......................... 120,709 2,000 Kikuchi Co., Ltd. .............................. 8,987 3,000 Meiwa Industry Co., Ltd. ....................... 7,385 7,000 Mitsuba Corp. .................................. 28,635 3,000 Murakami Corp. ................................. 12,111 8,000 Nippon Seiki Co., Ltd. ......................... 58,721 10,000 Pacific Industrial Co., Ltd. ................... 25,332 22,000 ShinMaywa Industries, Ltd. ..................... 66,759 5,000 Sumitomo Wiring Systems, Ltd. .................. 42,653 14,000 Tokai Rika Co., Ltd. ........................... 111,283 20,000 U-Shin, Ltd. ................................... 86,649 2,000 Yachiyo Industry Co., Ltd. ..................... 11,995 2,400 Yorozu Corp. ................................... 16,177 ----------- 642,270 ----------- Banks -- 0.7% 1,400 Aichi Bank, Ltd. ............................... 71,056 1,400 Bank of Okinawa, Ltd. .......................... 24,613 9,600 Chiba Kogyo Bank, Ltd.*......................... 57,145 72,000 Hokkaido Bank, Ltd.*............................ 108,276 7,000 Japan Asia Investment Co., Ltd. ................ 23,748 17,000 Japan Securities Finance Co., Ltd. ............. 77,304 10,000 Kagawa Bank, Ltd. .............................. 54,066 18,000 Oita Bank, Ltd. ................................ 84,429 3,000 Osaka Securities Finance Co., Ltd. ............. 5,881 18,000 Taiko Bank, Ltd. ............................... 39,475 11,000 Tochigi Bank, Ltd. ............................. 57,996 ----------- 603,989 ----------- Building -- 1.3% 6,000 Asahi Kogyosha Co., Ltd. ....................... 16,435 1,400 C-CUBE Corp. ................................... 3,271 4,000 Dai-Dan Co., Ltd. .............................. 18,476 11,000 Daiho Corp. .................................... 17,625 3,000 Daiichi Kensetsu Corp. ......................... 7,251 7,000 Daimei Telecom Engineering Corp. ............... 32,019 9,000 Fukuda Corp. ................................... 35,447 6,000 Hibiya Engineering, Ltd. ....................... 39,851 3,000 Higashi Nihon House Co., Ltd.*.................. 5,049 20,000 Hitachi Plant Engineering & Construction Co., Ltd........................................... 61,405 4,900 Japan Foundation Engineering Co., Ltd........... 11,843 4,000 Kaneshita Construction Co., Ltd. ............... 18,977 4,000 Kodensha Co., Ltd. ............................. 10,742 17,000 Kyudenko Corp. ................................. 64,825 18,000 Maeda Road Construction Co., Ltd. .............. 97,963 13,000 Mitsui Home Co., Ltd. .......................... 50,620
SHARES VALUE ---------- ------------ COMMON STOCKS (CONTINUED) JAPAN (CONTINUED) Building (continued) 2,000 Nippon Densetsu Kogyo Co., Ltd. ............... $ 7,412 6,000 Ohmoto Gumi Co., Ltd. .......................... 26,693 3,000 OKI Wintech Co., Ltd. .......................... 10,715 5,000 Raito Kogyo Co., Ltd. .......................... 15,262 12,000 Sanyo Engineering & Construction, Inc........... 34,588 4,000 Seibu Electric Industry Co., Ltd. .............. 9,309 4,900 Sho-Bond Corp. ................................. 26,712 8,000 Taihei Dengyo Kaisha, Ltd. ..................... 22,987 3,000 Taisei Oncho Co., Ltd. ......................... 7,788 15,000 Taisei Rotec Corp. ............................. 25,109 14,000 Takasago Thermal Engineering Co., Ltd........... 85,592 21,000 Takuma Co., Ltd. ............................... 114,854 6,000 TETRA Co., Ltd. ................................ 11,440 16,000 The Nippon Road Co., Ltd. ...................... 30,506 36,000 Toa Corp. ...................................... 45,437 11,000 Tohuku Telecommunications Construction Co., Ltd........................................... 29,146 7,000 Tokyo Energy & Systems, Inc. ................... 22,808 9,000 Toshiba Plant Kensetsu Co., Ltd. ............... 24,330 3,800 Tsuchiya Home Co., Ltd. ........................ 8,436 9,000 Tsukishima Kikai Co., Ltd. ..................... 54,460 6,000 Ueki Corp. ..................................... 11,655 1,000 Yokogawa Construction Co., Ltd. ............... 3,160 16,000 Yurtec Corp. ................................... 56,859 ----------- 1,177,057 ----------- Chemicals -- 0.8% 3,000 Atomix Co., Ltd. ............................... 8,378 3,000 Japan Wavelock Co., Ltd. ....................... 10,339 2,000 Kimoto Co., Ltd. ............................... 12,514 2,000 Manac Inc. ..................................... 6,803 8,000 Mitsuboshi Belting, Ltd. ....................... 22,056 2,000 Natoco Co., Ltd. ............................... 12,890 4,000 Nihon Kagaku Sangyo Co., Ltd. .................. 11,995 4,000 Nippon Fine Chemical Co., Ltd. ................. 13,642 22,000 Nippon Soda Co., Ltd. .......................... 58,094 16,000 Nippon Synthetic Chemical Industry Co., Ltd..... 32,798 4,300 Nitta Corp. .................................... 50,615 3,000 Osaka Organic Chemical Industry Ltd............. 14,045 18,000 Sakai Chemical Industry Co., Ltd. .............. 60,905 17,000 Sekisui Plastics Co., Ltd. ..................... 41,695 1,000 Showa Tansan Co., Ltd. ......................... 2,730 2,600 Sumitomo Rubber Industries, Ltd. ............... 12,917 2,000 Taoka Chemical Co., Ltd. ....................... 4,207 1,000 Toagosei Co., Ltd. ............................. 1,808 5,000 Tohcello Co., Ltd. ............................. 12,040 30,000 Tokai Carbon Co., Ltd. ......................... 79,488 5,000 Tokyo Printing Ink Mfg. Co., Ltd. .............. 12,308 41,000 Toyo Ink Mfg Co., Ltd. ......................... 119,277
See accompanying notes to the financial statements. 57 AXA ROSENBERG INTERNATIONAL SMALL CAPITALIZATION FUND SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- SEPTEMBER 30, 2003 (UNAUDITED) --------------------------------------------------------------------------------
SHARES VALUE ---------- ------------ COMMON STOCKS (CONTINUED) JAPAN (CONTINUED) Chemicals (continued) 39,000 Toyo Tire & Rubber Co., Ltd. ................... $ 86,577 4,000 Yuki Gosei Kogyo Co., Ltd. ..................... 9,417 ----------- 697,538 ----------- Computer -- 0.1% 5,200 Japan Digital Laboratory Co., Ltd. ............. 48,269 ----------- Construction Materials -- 0.5% 6,000 Bunka Shutter Co., Ltd. ........................ 22,987 4,000 Daiichi Cement Co., Ltd. ....................... 10,240 1,000 Haltec Corp. ................................... 1,665 7,000 Ishizuka Glass Co., Ltd.*....................... 11,780 6,000 Japan Steel Tower Co., Ltd. .................... 11,816 5,000 Komai Tekko, Inc. .............................. 11,547 1,000 Kunimine Industries Co., Ltd. .................. 2,462 13,000 Mitsubishi Plastics, Inc. ...................... 25,717 22,000 Nihon Yamamura Glass Co., Ltd. ................. 37,614 5,000 Nippon Hume Corp. .............................. 11,189 43,000 Nitto Boseki Co., Ltd. ......................... 51,578 17,000 Okabe Co., Ltd. ................................ 47,630 1,000 Sankyo Rikagaku Co., Ltd. ...................... 6,132 10,000 Sekisui Jushi Corp. ............................ 42,966 2,000 Takada Kiko Co., Ltd. .......................... 7,877 3,000 Takahashi Curtain Wall Corp.*................... 10,070 5,000 Takigami Steel Construction Co., Ltd............ 17,992 14,000 Takiron Co., Ltd. .............................. 44,864 7,000 Yokogawa Bridge Corp. .......................... 28,197 5,000 Yotai Refractories Co., Ltd. ................... 8,549 ----------- 412,872 ----------- Defense -- 0.0% 10,000 Namura Shipbuilding Co., Ltd. .................. 23,542 ----------- Drugs -- 0.3% 17,000 Kaken Pharmaceutical Co., Ltd. ................. 87,956 12,000 Nikken Chemicals Co., Ltd. ..................... 28,788 1,000 Rohto Pharmaceutical Co., Ltd. ................. 7,976 4,300 Seikagaku Corp. ................................ 45,804 5,000 Teikoku Hormone Mfg. Co., Ltd. ................. 34,149 5,300 Torii Pharmaceutical Co., Ltd. ................. 82,312 ----------- 286,985 ----------- Durables -- 0.1% 2,800 Tohoku Pioneer Corp. ........................... 43,235 5,000 Zojirushi Corp. ................................ 20,857 ----------- 64,092 ----------- Financial Investments -- 0.4% 11,000 Central Leasing Co., Ltd. ...................... 182,455 16,000 Daiwa Kosho Lease Co., Ltd. .................... 47,979 6,500 Sanyo Electric Credit Co., Ltd. ................ 89,254 6,000 Suntelephone Co., Ltd. ......................... 18,476 ----------- 338,164 ----------- Food -- 0.9% 1,000 Asahimatsu Foods Co., Ltd. ..................... 5,872 13 Coca-Cola Central Japan Co., Ltd. .............. 75,290
SHARES VALUE ---------- ------------ COMMON STOCKS (CONTINUED) JAPAN (CONTINUED) Food (continued) 3,000 DyDo Drinco, Inc. .............................. $ 65,927 3,000 Fuji Foods, Inc. ............................... 8,325 4,000 Fujicco Co., Ltd. .............................. 38,885 2,000 Gaban Co., Ltd. ................................ 15,880 900 Iwatsuka Confectionery Co., Ltd. ............... 9,265 2,000 Kenko Mayonnaise Co., Ltd. ..................... 7,931 9,000 Kinki Coca-Cola Bottling Co., Ltd. ............. 55,024 23,000 Marudai Food Co., Ltd. ......................... 38,706 2,000 Marutai Co., Ltd. .............................. 10,742 1,000 Murachiku Co., Ltd. ............................ 8,325 7,000 Myojo Foods Co., Ltd. .......................... 16,981 6,000 Nichiwa Sangyo Co., Ltd. ....................... 13,373 26,000 Nippon Beet Sugar Manufacturing Co., Ltd........ 40,030 11,000 Nissin Sugar Manufacturing Co., Ltd............. 18,019 1,700 Oie Sangyo Co., Ltd. ........................... 10,637 5,000 Riken Vitamin Co., Ltd. ........................ 63,107 4,000 Rokko Butter Co., Ltd. ......................... 8,056 3,000 Semba Tohka Industries Co., Ltd. ............... 7,251 3,700 Shikoku Coca-Cola Bottling Co., Ltd............. 35,935 3,000 Shinobu Foods Products Co., Ltd. ............... 7,358 29,000 The Nisshin Oillio Group, Ltd. ................. 81,250 19,000 Tokatsu Foods Co., Ltd. ........................ 48,131 7,000 Yokohama Reito Co., Ltd. ....................... 36,217 ----------- 726,517 ----------- Health -- 0.1% 7,000 SRL, Inc. ...................................... 54,827 ----------- Household -- 0.3% 7,000 Itoki Crebio Corp. ............................. 14,725 1,800 Kuwayama Corp. ................................. 8,298 4,000 Lihit Lab, Inc. ................................ 7,698 6,000 Mitsubishi Pencil Co., Ltd. .................... 42,483 13,000 Mizuno Corp. ................................... 46,083 4,300 Roland Corp. ................................... 44,457 3,600 Tachikawa Corp. ................................ 17,401 7,000 Tasaki Shinju Co., Ltd. ........................ 22,745 4,000 Tigers Polymer Corp. ........................... 15,217 4,000 Yonex Co., Ltd. ................................ 18,762 ----------- 237,869 ----------- Instruments -- 0.5% 5,000 Aloka Co., Ltd. ................................ 39,117 3,000 Create Medic Co., Ltd. ......................... 17,992 3,000 Espec Corp. .................................... 22,880 3,300 Fukuda Denshi Co., Ltd. ........................ 79,461 2,000 GL Sciences, Inc. .............................. 18,977 7,000 Hitachi Medical Corp. .......................... 83,588 4,000 Horiba, Ltd. ................................... 46,010 800 IMI Co., Ltd. .................................. 10,097 4,000 Kawasumi Laboratories, Inc. .................... 26,782 2,000 New Cosmos Electric Co., Ltd. .................. 12,174
See accompanying notes to the financial statements. 58 AXA ROSENBERG INTERNATIONAL SMALL CAPITALIZATION FUND SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- SEPTEMBER 30, 2003 (UNAUDITED) --------------------------------------------------------------------------------
SHARES VALUE ---------- ------------ COMMON STOCKS (CONTINUED) JAPAN (CONTINUED) Instruments (continued) 3,000 Nippon Antenna Co., Ltd. ....................... $ 22,853 3,000 Nireco Corp. ................................... 11,440 3,000 Rion Co., Ltd. ................................. 9,533 3,000 Seed Co., Ltd.*................................. 7,116 ----------- 408,020 ----------- Insurance -- 0.1% 24,000 The Nisshin Fire & Marine Insurance Co., Ltd.... 61,872 ----------- IT Hardware -- 1.1% 3,400 Aiphone Co., Ltd. .............................. 50,217 2,000 Apic Yamada Corp.*.............................. 5,102 7,000 CMK Corp. ...................................... 45,741 3,000 Diamond Electric Mfg Co., Ltd. ................. 9,426 1,000 Excel Co., Ltd. ................................ 12,129 4,000 Foster Electric Co., Ltd. ...................... 17,043 2,000 Fuji Electric Ind. Co., Ltd. ................... 9,399 5,000 Fujitsu Fronttec, Ltd. ......................... 52,813 2,700 Icom, Inc. ..................................... 50,029 22,000 Japan Radio Co., Ltd.*.......................... 107,328 4,700 Komatsu Electronic Metals Co., Ltd.* ........... 35,803 4,000 Kuramoto Seisakusho Co., Ltd. .................. 48,337 18,000 Makino Milling Machine Co., Ltd. ............... 88,941 3,900 Mimasu Semiconductor Industry Co., Ltd.......... 53,343 23,000 Nippon Chemi-Con Corp. ......................... 82,764 15,000 Shindengen Electric Manufacturing Co., Ltd.*.... 43,101 3,500 Shinkawa, Ltd. ................................. 75,191 13,000 Tamura Corp. ................................... 53,529 18,000 Toko, Inc. ..................................... 51,076 2,000 Y.A.C. Co., Ltd.*............................... 8,056 ----------- 899,368 ----------- Liquor & Tobacco -- 0.1% 28,000 Mercian Corp. .................................. 56,644 ----------- Machinery -- 1.6% 14,000 Aida Engineering, Ltd. ......................... 46,869 46,000 Amada Machinics Co., Ltd. ...................... 125,588 12,000 Asahi Diamond Industrial Co., Ltd. ............. 57,575 22,000 Daifuku Co., Ltd. .............................. 97,087 1,000 Daito Seiki Co., Ltd. .......................... 1,969 9,000 Daiwa Industries, Ltd. ......................... 24,813 200 DMW Corp. ...................................... 4,744 700 Freund Industrial Co., Ltd. .................... 3,509 3,000 Fuji Seiko, Ltd. ............................... 9,184 18,000 Fujitec Co., Ltd. .............................. 79,112 2,000 Fukushima Industries Corp. ..................... 13,427
SHARES VALUE ---------- ------------ COMMON STOCKS (CONTINUED) JAPAN (CONTINUED) Machinery (continued) 22,000 Hitachi Koki Co., Ltd. ......................... $ 94,330 20,000 Kitz Corp. ..................................... 27,749 3,600 Maezawa Industries, Inc. ....................... 16,435 9,000 Max Co., Ltd. .................................. 90,632 18,400 Mori Seiki Co., Ltd. ........................... 125,177 2,000 Nakano Refrigerators Co., Ltd. ................. 11,458 8,000 Neturen Co., Ltd. .............................. 25,708 3,000 Nihon Kaiheiki Ind. Co., Ltd. .................. 11,547 28,000 Nippon Sharyo, Ltd. ............................ 61,406 9,100 Nitto Electric Works, Ltd. ..................... 60,686 25,000 Okuma Corp.*.................................... 60,645 11,000 Organo Corp. ................................... 53,762 1,100 Piolax, Inc. ................................... 13,293 4,000 Sansei Yusoki Co., Ltd. ........................ 17,759 2,000 Sanso Electric Co., Ltd. ....................... 8,987 3,000 Shibuya Kogyo Co., Ltd. ........................ 26,048 5,000 Shinko Kogyo Co., Ltd. ......................... 5,997 8,000 Sintokogio, Ltd. ............................... 22,414 2,000 Toami Corp. .................................... 8,951 15,000 Toshiba Tungaloy Co., Ltd. ..................... 55,454 2,000 Toso Co., Ltd. ................................. 4,368 4,000 Toyo Engineering Works, Ltd. ................... 5,192 26,000 Toyoda Machine Works, Ltd. ..................... 139,642 400 Zuiko Corp. .................................... 2,721 ----------- 1,414,238 ----------- Media -- 0.2% 1,000 Asahi Broadcasting Corp. ....................... 51,470 4,000 Asia Securities Printing Co., Ltd. ............. 22,199 1,000 Broadcast System of Niigata, Inc. .............. 4,485 2,000 Chubu-Nippon Broadcasting Co., Ltd.............. 15,110 2,000 Hiraga Co., Ltd. ............................... 12,263 8,000 RKB Mainichi Broadcasting Corp. ................ 37,238 2,000 Sanko Sangyo Co., Ltd. ......................... 7,609 900 Tokyo Lithmatic Corp. .......................... 8,056 ----------- 158,430 ----------- Metals -- 0.8% 25,000 Kurimoto, Ltd. ................................. 45,876 29,000 Sanyo Special Steel Co., Ltd. .................. 42,832 42,000 Showa Electric Wire & Cable Co., Ltd.*.......... 50,378 6,000 Sumitomo Pipe & Tube Co., Ltd. ................. 14,555 25,700 Tokyo Steel Mfg. Co., Ltd. ..................... 190,942 19,000 Toyo Kohan Co., Ltd. ........................... 53,234 9,000 Toyokuni Electric Cable Co., Ltd. .............. 29,808 15,000 Yamato Kogyo Co., Ltd. ......................... 111,041 35,000 Yodogawa Steel Works, Ltd. ..................... 121,559 ----------- 660,225 -----------
See accompanying notes to the financial statements. 59 AXA ROSENBERG INTERNATIONAL SMALL CAPITALIZATION FUND SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- SEPTEMBER 30, 2003 (UNAUDITED) --------------------------------------------------------------------------------
SHARES VALUE ---------- ------------ COMMON STOCKS (CONTINUED) JAPAN (CONTINUED) Miscellaneous Financial -- 0.4% 3,000 Daiko Shoken Business Co., Ltd. ................ $ 9,829 6,000 Ichiyoshi Securities Co., Ltd. ................. 23,041 13,000 Marusan Securities Co., Ltd. ................... 58,300 22,000 Okasan Securities Co., Ltd. .................... 91,178 56,000 Tokai Tokyo Securities Co., Ltd. ............... 120,306 13,000 Toyo Securities Co., Ltd.*...................... 29,674 1,000 Yutaka Shoji Co., Ltd. ......................... 4,744 ----------- 337,072 ----------- Office Machinery -- 0.6% 700 55 Station, Inc. ............................... 2,882 16,000 Amano Corp. .................................... 103,979 9,000 Canon Finetech, Inc. ........................... 109,322 6,000 Chinon Industries Inc.*......................... 15,844 4,000 Japan Cash Machine Co., Ltd. ................... 82,890 3,000 Katsuragawa Electric Co., Ltd. ................. 8,996 3,000 King Jim Co., Ltd. ............................. 16,650 1,300 Mars Engineering Corp. ......................... 59,231 5,000 Richo Elemex Corp. ............................. 18,932 2,500 Riso Kagaku Corp. .............................. 98,465 ----------- 517,191 ----------- Oil Distribution -- 0.1% 7,000 Kamei Corp. .................................... 35,089 2,000 Sinanen Co., Ltd. .............................. 8,217 26,000 Uehara Sei Shoji Co., Ltd. ..................... 68,192 ----------- 111,498 ----------- Other Utilities -- 0.1% 10,000 Keiyo Gas Co., Ltd. ............................ 30,166 7,000 Otaki Gas Co., Ltd. ............................ 20,051 1,500 Shinnihon Gas Corp. ............................ 5,237 ----------- 55,454 ----------- Paper -- 0.4% 12,000 Chuetsu Pulp & Paper Co., Ltd. ................. 26,532 2,000 Comany, Inc. ................................... 11,100 7,000 Daio Paper Corp. ............................... 58,211 11,000 Kishu Paper Co., Ltd. .......................... 19,595 57,000 Mitsubishi Paper Mills, Ltd.*................... 86,738 2,000 Nankai Plywood Co., Ltd. ....................... 5,926 30,000 Nice Corp. ..................................... 63,912 2,000 Nihon Decoluxe Co., Ltd. ....................... 8,146 2,000 Shimojima Co., Ltd. ............................ 21,304 ----------- 301,464 ----------- Real Estate Development -- 0.5% 4,000 Aoki Marine Co., Ltd. .......................... 6,266 18,000 Daibiru Corp. .................................. 97,801 5,000 Hosoda Corp. ................................... 14,994 7,000 Kowa Spinning Co., Ltd. ........................ 20,678 23,000 Recruit Cosmos Co., Ltd. ....................... 68,558 10,000 Sankei Building Co., Ltd. ...................... 30,435 3,000 Sekiwa Real Estate Chubu, Ltd. ................. 13,024 5,000 Sekiwa Real Estate Chubu, Ltd. ................. 18,798 24,000 The Sumitomo Warehouse Co., Ltd................. 69,606 9,000 TOC Co., Ltd. .................................. 53,896 ----------- 394,056 -----------
SHARES VALUE ---------- ------------ COMMON STOCKS (CONTINUED) JAPAN (CONTINUED) Retail -- 0.8% 9,200 Aoki International Co., Ltd. ................... $ 53,529 3,000 Blue Grass Co., Ltd. ........................... 18,449 600 Chiyoda Co., Ltd. .............................. 6,042 30 Cyber Agent, Ltd.*.............................. 42,698 8,000 Daiwa Co., Ltd. ................................ 13,248 500 Haruyama Trading Co., Ltd. ..................... 4,914 6,400 Homac Corp. .................................... 46,347 1,800 Jeans Mate Corp. ............................... 15,532 3,740 Konaka Co., Ltd. ............................... 25,879 32,000 Matsuzakaya Co., Ltd. .......................... 90,802 5,700 Ministop Co., Ltd. ............................. 88,269 3,000 Mutow Co., Ltd. ................................ 9,318 2,000 Nagano Tokyu Department Store Co., Ltd.......... 6,033 1,200 Poplar Co., Ltd. ............................... 12,783 2,300 Right On Co., Ltd. ............................. 44,882 9,000 Senshukai Co., Ltd. ............................ 111,015 1,300 Three F Co., Ltd. .............................. 7,913 11,000 Tokyu Store Chain Co., Ltd. .................... 39,878 4,300 U. Store Co., Ltd. ............................. 40,223 2,500 Uoriki Co., Ltd. ............................... 21,528 ----------- 699,282 ----------- Services -- 0.4% 5,000 Aichi Toyota Motor Co., Ltd. ................... 54,827 3,000 Asia Air Survey Co., Ltd. ...................... 7,116 1,000 AUTOSEVEN, Co., Inc. ........................... 5,595 1,400 Car Mate Mfg. Co., Ltd. ........................ 4,699 1,000 Chodai Co., Ltd. ............................... 2,685 2,100 CTI Engineering Co., Ltd. ...................... 9,587 3,000 Daishinto, Inc. ................................ 6,230 13,000 Eikoh, Inc. .................................... 58,300 2,000 Gakuikusha Corp. ............................... 6,624 2,000 Gifu Hino Motor Co., Ltd. ...................... 15,253 1,000 Ichishin Co., Ltd. ............................. 2,909 3,000 Johnan Academic Preparatory Institute, Inc...... 13,427 3,000 Keiiyu Co., Ltd. ............................... 20,409 5,000 Nippon Koei Co., Ltd. .......................... 10,249 1,500 Original Engineering Consultants Co., Ltd....... 6,526 4,000 Shingakukai Co., Ltd. .......................... 23,274 1,500 Tanabe Management Consulting Co., Ltd........... 4,820 2,000 Tokyo Individualized Educational Institute, Inc........................................... 14,072 3,000 Toyo Tec Co., Ltd. ............................. 13,696 2,000 Toyota Corolla Gifu Co., Ltd. .................. 18,511 2,700 WESCO, Inc. .................................... 8,942 2,800 Yellow Hat, Ltd. ............................... 24,187 ----------- 331,938 -----------
See accompanying notes to the financial statements. 60 AXA ROSENBERG INTERNATIONAL SMALL CAPITALIZATION FUND SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- SEPTEMBER 30, 2003 (UNAUDITED) --------------------------------------------------------------------------------
SHARES VALUE ---------- ------------ COMMON STOCKS (CONTINUED) JAPAN (CONTINUED) Soap & Cosmetics -- 0.3% 9,000 Avon Products Co., Ltd. ........................ $ 40,926 3,000 Ivy Cosmetics Corp. ............................ 14,770 4,100 Mandom Corp. ................................... 80,740 3,000 Nicca Chemical Co., Ltd. ....................... 10,661 6,000 S.T. Chemical Co., Ltd. ........................ 43,020 18,000 Sunstar, Inc. .................................. 52,527 ----------- 242,644 ----------- Software -- 0.3% 3,000 Creo Co., Ltd. ................................. 10,742 2,700 Fujitsu Business Systems, Ltd. ................. 33,691 8,000 Intec, Inc. .................................... 49,053 5,000 Japan Process Development Co., Ltd.............. 30,211 5,200 Justsystem Corp.*............................... 16,105 1,000 Saison Information Systems Co., Ltd............. 13,785 23,000 Tsuzuki Denki Co., Ltd.*........................ 62,794 ----------- 216,381 ----------- Textiles -- 0.2% 1,000 Chacott Co., Ltd. .............................. 5,049 2,000 Fuji Corp. ..................................... 13,069 5,000 Fujix, Ltd. .................................... 16,784 1,000 Jichodo Co., Ltd. .............................. 4,207 5,000 King Co., Ltd. ................................. 8,549 47,000 Kurabo Industries, Ltd. ........................ 69,837 5,000 Lapine Co., Ltd. ............................... 5,863 9,000 The Japan Wool Textile Co., Ltd. ............... 39,475 4,000 Tokyo Soir Co., Ltd. ........................... 9,811 3,000 Yagi Corp. ..................................... 9,802 3,000 Yamato International, Inc. ..................... 10,661 ----------- 193,107 ----------- Transportation -- 0.3% 3,000 Chuo Warehouse Co., Ltd. ....................... 20,141 3,000 Daiwa Logistics Co., Ltd. ...................... 12,380 10,000 Hitachi Transport System, Ltd. ................. 64,539 2,000 i-Logistics Corp. .............................. 3,079 3,000 Isewan Terminal Service Co., Ltd. .............. 6,982 1,000 Japan Logistics Systems Corp. .................. 2,506 6,000 Japan Oil Transportation Co., Ltd. ............. 11,279 3,000 Kanda Corp. .................................... 7,653 3,000 Kawanishsi Warehouse Co., Ltd. ................. 14,823 7,000 Maruzen Showa Unyu Co., Ltd. ................... 17,921 5,000 Meiko Trans Co., Ltd. .......................... 15,441 24,000 Mitsui-Soko Co., Ltd. .......................... 57,575 3,000 Tokyo Kisen Co., Ltd. .......................... 10,339 ----------- 244,658 ----------- Travel & Entertainment -- 0.3% 9,000 Adores, Inc. ................................... 15,548 1,500 Edosawa Co., Ltd. .............................. 7,922 900 Global-Dining, Inc. ............................ 4,930 5,000 Horipro, Inc. .................................. 30,658 1,000 Mefos, Ltd. .................................... 9,667 5,000 MOS Food Service, Inc. ......................... 40,953 72 Taito Corp. .................................... 103,121 ----------- 212,799 -----------
SHARES VALUE ---------- ------------ COMMON STOCKS (CONTINUED) JAPAN (CONTINUED) Wholesale -- 0.9% 3,000 Atol Co., Ltd. ................................. $ 15,441 8,000 Chuo Gyorui Co., Ltd. .......................... 16,829 6,000 Daito Gyorui Co., Ltd. ......................... 12,353 2,500 Denkodo Co., Ltd. .............................. 12,375 18,000 Denkyosha Co., Ltd. ............................ 73,956 2,000 Easton Co., Ltd. ............................... 9,417 4,700 Edion Corp. .................................... 29,408 3,000 Furusato Industries, Ltd. ...................... 8,862 7,000 Gigas Kansai Corp. ............................. 32,646 2,000 Hagiwara Electric Co., Ltd. .................... 9,220 1,000 Inaba Denki Sangyo Co., Ltd. ................... 13,713 4,000 Kato Sangyo Co., Ltd. .......................... 36,163 4,000 Mitani Corp. ................................... 15,038 1,000 Morito Co., Ltd. ............................... 6,212 5,000 Nagahori Corp. ................................. 12,263 13,000 Nagase & Co., Ltd. ............................. 80,875 7,400 Ryosan Co., Ltd. ............................... 110,026 7,000 Ryoyo Electro Corp. ............................ 73,562 2,000 Sanshin Electronics Co., Ltd. .................. 10,921 13,000 Sekido Co., Ltd. ............................... 16,873 1,500 Senshu Electric Co., Ltd. ...................... 9,533 2,000 Shinden Co., Ltd. .............................. 4,583 4,000 Shinko Shoji Co., Ltd. ......................... 19,908 5,000 Soda Nikka Co., Ltd. ........................... 8,728 4,000 Somar Corp. .................................... 6,552 1,500 Sugimoto & Co., Ltd. ........................... 8,728 3,000 Tachibana Eletech Co., Ltd. .................... 22,047 2,000 Tokiwa Yakuhin Co., Ltd. ....................... 11,637 2,000 Totech Corp. ................................... 6,803 2,000 Toyo Officemation, Inc. ........................ 7,161 4,000 Tsukiji Uoichiba Co., Ltd. ..................... 7,483 1,700 Tsuzuki Densan Co., Ltd. ....................... 5,783 3,000 Yagi & Co., Ltd. ............................... 16,918 2,000 Yokohama Maruuo Co., Ltd. ...................... 7,089 9,000 Yuasa Funashoku Co., Ltd. ...................... 15,548 ----------- 754,654 ----------- 13,584,986 ----------- MALAYSIA -- 0.0% Real Estate Development -- 0.0% 24,000 Rekapacific Berhad (b)*......................... 0 ----------- NETHERLANDS -- 3.2% Instruments -- 0.3% 16,667 Delft Instruments............................... 242,619 -----------
See accompanying notes to the financial statements. 61 AXA ROSENBERG INTERNATIONAL SMALL CAPITALIZATION FUND SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- SEPTEMBER 30, 2003 (UNAUDITED) --------------------------------------------------------------------------------
SHARES VALUE ---------- ------------ COMMON STOCKS (CONTINUED) NETHERLANDS (CONTINUED) Media -- 0.8% 6,309 Roto Smeets de Boer............................. $ 175,964 63,686 Wegener*........................................ 474,660 ----------- 650,624 ----------- Office Machinery -- 0.5% 31,687 Oce............................................. 436,909 ----------- Retail -- 0.1% 6,405 Macintosh Retail Group.......................... 105,544 ----------- Services -- 1.2% 154 Grontmij........................................ 2,932 22,464 Koninklijke BAM Groep........................... 527,395 24,417 SNT Group*...................................... 366,525 222 United Services Group........................... 3,232 ----------- 900,084 ----------- Software -- 0.3% 209,881 Getronics*...................................... 266,414 ----------- Telephone -- 0.0% 39,078 Lycos Europe*................................... 37,317 ----------- Wholesale -- 0.0% 1,094 Univar.......................................... 12,103 ----------- 2,651,614 ----------- NEW ZEALAND -- 0.7% Airlines -- 0.2% 364,585 Air New Zealand, Ltd.*.......................... 108,272 ----------- Construction Materials -- 0.1% 26,464 Fletcher Building, Ltd. ........................ 67,117 ----------- Durables -- 0.1% 7,504 Fisher & Paykel Appliances Holdings, Ltd........ 64,404 ----------- Electric Utilities -- 0.0% 5,000 TrustPower, Ltd. ............................... 14,849 ----------- Food -- 0.0% 2,500 Sanford, Ltd. .................................. 7,439 ----------- Miscellaneous Financial -- 0.0% 28,359 Tower, Ltd.*.................................... 22,571 ----------- Other Utilities -- 0.1% 101,838 NGC Holdings, Ltd. ............................. 95,569 ----------- Retail -- 0.1% 27,322 Warehouse Group, Ltd. .......................... 89,578 ----------- Services -- 0.1% 73,256 Fletcher Challenge Forests, Ltd.*............... 56,128 ----------- Telephone -- 0.0% 5,000 Sky Network Television, Ltd.*................... 14,849 ----------- 540,776 ----------- NORWAY -- 0.2% Banks -- 0.2% 8,700 Sparebanken Nord-Norge.......................... 192,350 ----------- PORTUGAL -- 0.0% Paper -- 0.0% 17,965 Corticeira Amorim, S.G.P.S.*.................... 16,109 -----------
SHARES VALUE ---------- ------------ COMMON STOCKS (CONTINUED) SINGAPORE -- 2.6% Airlines -- 0.1% 97,000 Singapore Airport Terminal Services, Ltd........ $ 110,549 ----------- Banks -- 0.1% 61,000 Hong Leong Finance, Ltd. ....................... 95,282 ----------- Building -- 0.1% 87,000 Guocoland, Ltd. ................................ 55,868 ----------- Financial Investments -- 0.2% 109,000 Metro Holdings, Ltd. ........................... 40,988 24,000 Overseas Union Enterprise, Ltd. ................ 90,943 ----------- 131,931 ----------- Food -- 0.3% 65,000 Del Monte Pacific, Ltd. ........................ 21,810 358,000 Golden Agri-Resources, Ltd.*.................... 59,026 156,000 Want Want Holdings, Ltd. ....................... 143,521 ----------- 224,357 ----------- Instruments -- 0.0% 51,000 Sunright, Ltd.*................................. 12,244 ----------- IT Hardware -- 0.1% 24,000 Elec & Eltek International Co., Ltd. ........... 57,600 ----------- Oil Distribution -- 0.1% 72,000 Singapore Petroleum Co., Ltd. .................. 51,650 ----------- Real Estate Development -- 0.9% 131,000 Allgreen Properties, Ltd. ...................... 77,302 40,250 Cycle & Carriage, Ltd. ......................... 121,084 34,000 Fraser & Neave, Ltd. ........................... 202,598 90,000 Keppel Land, Ltd. .............................. 83,307 74,000 Lum Chang Holdings, Ltd. ....................... 11,773 38,000 Singapore Land, Ltd. ........................... 86,616 266,000 The Ascott Group, Ltd. ......................... 66,171 20,000 United Engineers, Ltd. ......................... 18,397 182,000 United Industrial Corp., Ltd. .................. 86,338 29,000 WBL Corp., Ltd. ................................ 46,976 120,000 Wing Tai Holdings, Ltd. ........................ 49,290 ----------- 849,852 ----------- Retail -- 0.0% 5,000 Wearnes International, Ltd. .................... 2,878 ----------- Software -- 0.1% 60,000 Datacraft Asia, Ltd.*........................... 73,800 ----------- Telephone -- 0.1% 357,000 Pacific Century Regional Developments, Ltd.*.... 59,894 ----------- Transportation -- 0.3% 157,000 Chuan Hup Holdings, Ltd. ....................... 45,414 188,667 ComfortDelGro Corp., Ltd. ...................... 85,681 140,000 Neptune Orient Lines, Ltd.*..................... 157,935 ----------- 289,030 -----------
See accompanying notes to the financial statements. 62 AXA ROSENBERG INTERNATIONAL SMALL CAPITALIZATION FUND SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- SEPTEMBER 30, 2003 (UNAUDITED) --------------------------------------------------------------------------------
SHARES VALUE ---------- ------------ COMMON STOCKS (CONTINUED) SINGAPORE (CONTINUED) Travel & Entertainment -- 0.2% 78,000 Hotel Properties, Ltd. ......................... $ 47,381 265,600 Raffles Holdings, Ltd. ......................... 79,132 ----------- 126,513 ----------- 2,141,448 ----------- SPAIN -- 3.6% Airlines -- 0.6% 242,047 Iberia Lineas Aereas de Espana.................. 498,920 ----------- Building -- 0.6% 91,010 Obrascon Huarte Lain............................ 514,031 ----------- Construction Materials -- 0.7% 10,806 Cementos Portland............................... 546,150 ----------- Financial Investments -- 0.4% 20,924 Dinamia Capital Privado......................... 311,898 ----------- Machinery -- 0.1% 1,253 Construcciones y Auxiliar de Ferrocarriles SA... 78,504 538 Sociedad Espanola del Acumulador Tudor*......... 2,569 ----------- 81,073 ----------- Paper -- 0.3% 66,300 Papeles Y Cartones de Europa.................... 237,806 ----------- Telephone -- 0.1% 19,808 Amper*.......................................... 81,659 ----------- Textiles -- 0.3% 75,213 Tavex Algodonera................................ 280,286 ----------- Wholesale -- 0.5% 15,306 Compania de Distribucion Integral Logista....... 409,788 ----------- 2,961,611 ----------- SWEDEN -- 1.6% Airlines -- 0.1% 6,309 SAS*............................................ 51,383 ----------- Financial Investments -- 0.6% 48,189 Vostok Nafta Investment, Ltd.*.................. 485,914 ----------- Instruments -- 0.0% 5,993 Gambro, A Shares................................ 41,062 ----------- Real Estate Development -- 0.6% 18,531 L E Lundbergforetagen........................... 518,649 ----------- Retail -- 0.3% 25,240 Bilia, A Shares................................. 256,139 ----------- Transportation -- 0.0% 1,179 Brostrom, Class B............................... 7,926 ----------- 1,361,073 ----------- SWITZERLAND -- 4.2% Banks -- 0.3% 675 Graubuendner Kantonalbank....................... 276,011 ----------- Construction Materials -- 0.2% 433 Vetropack Holding............................... 129,185 ----------- Drugs -- 0.1% 914 Galenica Holding................................ 121,119 -----------
SHARES VALUE ---------- ------------ COMMON STOCKS (CONTINUED) SWITZERLAND (CONTINUED) Food -- 0.0% 12 Bell Holding*................................... $ 6,924 ----------- Instruments -- 0.8% 4,596 Leica Geosystems*............................... 626,443 ----------- Insurance -- 0.3% 2,010 Swiss Life Holdings*............................ 273,966 ----------- IT Hardware -- 0.2% 1,260 Unaxis Holding.................................. 149,318 ----------- Machinery -- 1.2% 304 AFG Arbonia-Forster Holding*.................... 25,725 880 Bucher Industries............................... 113,282 212 Industrieholding Cham*.......................... 34,515 20,033 Saurer.......................................... 728,141 ----------- 901,663 ----------- Media -- 0.4% 1,445 PubliGroupe*.................................... 355,615 ----------- Real Estate Development -- 0.1% 1,718 Unique Zurich Airport*.......................... 85,211 ----------- Retail -- 0.4% 8,840 Charles Voegele Holding*........................ 368,501 ----------- Transportation -- 0.1% 508 Jungfraubahn Holding............................ 96,168 ----------- Wholesale -- 0.1% 44 Daetwyler Holding............................... 64,304 ----------- 3,454,428 ----------- UNITED KINGDOM -- 12.7% Airlines -- 0.3% 57,849 BBA Group....................................... 235,230 ----------- Banks -- 0.1% 24,580 Egg*............................................ 52,680 ----------- Building -- 2.4% 10,855 Berkeley Group.................................. 141,661 98,000 George Wimpey................................... 594,283 8,407 M.J. Gleeson Group.............................. 181,576 167,000 Mowlem.......................................... 561,012 114,000 Taylor Woodrow.................................. 438,460 ----------- 1,916,992 ----------- Construction Materials -- 0.6% 365,135 Aggregate Industries............................ 517,157 ----------- Financial Investments -- 0.4% 78,352 Hitachi Capital UK.............................. 212,184 65,215 Vp.............................................. 135,435 ----------- 347,619 ----------- Food -- 0.6% 102,511 ALPHA Airports Group............................ 144,424 562 Camellia........................................ 32,680 435,000 Express Dairies................................. 314,379 ----------- 491,483 -----------
See accompanying notes to the financial statements. 63 AXA ROSENBERG INTERNATIONAL SMALL CAPITALIZATION FUND SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- SEPTEMBER 30, 2003 (UNAUDITED) --------------------------------------------------------------------------------
SHARES VALUE ---------- ------------ COMMON STOCKS (CONTINUED) UNITED KINGDOM (CONTINUED) Instruments -- 0.5% 72,000 Oxford Instruments.............................. $ 227,280 321,000 Senior.......................................... 197,324 ----------- 424,604 ----------- Insurance -- 0.5% 423,000 Highway Insurance Holdings...................... 258,690 145,528 SVB Holdings.................................... 135,397 ----------- 394,087 ----------- Machinery -- 0.3% 171,101 Delta........................................... 284,267 ----------- Media -- 0.9% 425,322 Highbury House Communications................... 190,790 62,562 Trinity Mirror.................................. 584,634 ----------- 775,424 ----------- Miscellaneous Financial -- 0.3% 190,000 Aberdeen Asset Management....................... 220,572 ----------- Office Machinery -- 0.1% 6,762 Linx Printing Technologies...................... 42,915 ----------- Oil -- 0.9% 391,517 Paladin Resources............................... 575,662 26,990 Premier Oil*.................................... 162,774 ----------- 738,436 ----------- Oil Services -- 0.2% 120,169 Hunting......................................... 195,656 ----------- Other Utilities -- 0.3% 30,552 AWG*............................................ 244,913 ----------- Real Estate Development -- 0.4% 48,266 Countryside Properties.......................... 152,359 22,029 Hammerson....................................... 199,465 ----------- 351,824 ----------- Retail -- 1.1% 46,428 lastminute.com*................................. 196,695 3,894 Somerfield...................................... 7,990 21,375 WH Smith........................................ 132,461 823,045 Woolworths Group*............................... 605,078 ----------- 942,224 ----------- Services -- 0.7% 74,196 Incepta Group................................... 120,397 106,000 Savills......................................... 387,438 66,252 Securicor....................................... 91,910 ----------- 599,745 ----------- Soap & Cosmetics -- 0.4% 200,000 McBride......................................... 348,894 ----------- Software -- 1.2% 204,000 Alphameric...................................... 211,829 19,222 Computacenter................................... 133,011 5,421 Merant*......................................... 12,789 134,188 RM.............................................. 334,410 177,963 Systems Union Group*............................ 286,798 ----------- 978,837 -----------
SHARES OR PRINCIPAL VALUE ---------- ------------ COMMON STOCKS (CONTINUED) UNITED KINGDOM (CONTINUED) Telephone -- 0.0% 26,741 COLT Telecom Group*............................. $ 40,984 ----------- Transportation -- 0.4% 287,000 Stagecoach Group................................ 367,153 ----------- Travel & Entertainment -- 0.1% 68,240 Yates Group..................................... 121,310 ----------- 10,633,006 ----------- TOTAL COMMON STOCKS............................. 76,270,711 ----------- PREFERRED STOCKS -- 0.5% GERMANY -- 0.5% Wholesale -- 0.5% 30,556 Jungheinrich.................................... 430,566 ----------- TOTAL PREFERRED STOCKS.......................... 430,566 ----------- RIGHTS -- 0.0% FRANCE -- 0.0% Real Estate Development -- 0.0% 2,146 Affine.......................................... 25 ----------- TOTAL RIGHTS.................................... 25 ----------- REPURCHASE AGREEMENTS -- 6.9% UNITED STATES -- 6.9% $5,722,000 State Street Bank dated 9/30/03, due 10/01/03 at .15% with a maturity value of 5,722,024 (Fully collateralized by U.S Treasury Notes Securities)................................... 5,722,000 ----------- TOTAL REPURCHASE AGREEMENTS..................... 5,722,000 ----------- TOTAL INVESTMENTS (COST $70,203,554) (A) -- 99.4%.................................. 82,423,302 OTHER ASSETS IN EXCESS OF LIABILITIES -- 0.6%... 511,074 ----------- NET ASSETS -- 100.0%............................ $82,934,376 ===========
--------------- * Non-income producing security. (a) Represents cost for financial reporting purposes, is substantially the same as federal income tax purposes, and differs from value by net unrealized appreciation of securities as follows: Unrealized appreciation............... $14,229,283 Unrealized depreciation............... (2,009,535) ----------- Net unrealized appreciation........... $12,219,748 ===========
(b) Bankrupt security/delisted; fair-valued by management See accompanying notes to the financial statements. 64 AXA ROSENBERG INTERNATIONAL SMALL CAPITALIZATION FUND SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- SEPTEMBER 30, 2003 (UNAUDITED) -------------------------------------------------------------------------------- FORWARD CROSS-CURRENCY EXCHANGE CONTRACTS
CONTRACT UNREALIZED DELIVERY AMOUNT APPRECIATION/ DATE (LOCAL CURRENCY) (DEPRECIATION) -------- ---------------- -------------- Receive Hong Kong Dollars in Exchange for U.S. Dollars 100,000 10/02/03 774,230 $(19) Receive Singapore Dollars in Exchange for U.S. Dollars 50,000 10/01/03 86,510 $ 48
See accompanying notes to the financial statements. 65 AXA ROSENBERG EUROPEAN FUND SCHEDULE OF PORTFOLIO INVESTMENTS -- SEPTEMBER 30, 2003 (UNAUDITED) --------------------------------------------------------------------------------
SHARES VALUE ------ ------------ COMMON STOCKS -- 98.2% BELGIUM -- 0.8% Banks -- 0.8% 1,180 Algemene Maatschappij voor Nijverheidskredit.............. $ 47,931 2 Banque Nationale de Belgique..... 9,362 ---------- 57,293 ---------- Retail -- 0.0% 20 Delhaize Group................... 815 ---------- 58,108 ---------- DENMARK -- 1.5% Banks -- 0.7% 2,705 Danske Bank...................... 51,544 ---------- Biotechnology -- 0.4% 890 Novozymes, B Shares.............. 27,986 ---------- Food -- 0.3% 600 Danisco.......................... 22,584 ---------- Services -- 0.1% 131 ISS.............................. 5,938 ---------- 108,052 ---------- FINLAND -- 2.2% Airlines -- 0.1% 1,330 Finnair.......................... 7,558 ---------- Building -- 0.0% 1 YIT-Yhtyma....................... 26 ---------- Chemicals -- 0.2% 1,600 Kemira........................... 14,906 ---------- Defense -- 0.1% 723 Wartsila Corp., Class B.......... 10,440 ---------- Drugs -- 0.1% 106 Orion-Yhtyma, Class A............ 1,976 348 Orion-Yhtyma, Class B............ 6,505 ---------- 8,481 ---------- Electric Utilities -- 0.8% 6,200 Fortum........................... 53,647 ---------- Insurance -- 0.2% 681 Pohjola Group, D Shares.......... 13,244 ---------- Machinery -- 0.2% 1,300 Metso Corp. ..................... 12,868 ---------- Metals -- 0.2% 882 Outokumpu........................ 9,953 800 Rautaruukki*..................... 4,658 ---------- 14,611 ---------- Paper -- 0.3% 2,200 M-real, Class B.................. 20,035 ---------- 155,816 ---------- FRANCE -- 9.4% Airlines -- 0.4% 1,840 Air France....................... 28,113 ---------- Autos -- 1.1% 1,850 PSA Peugeot Citroen.............. 78,615 ----------
SHARES VALUE ------ ------------ COMMON STOCKS (CONTINUED) FRANCE (CONTINUED) Banks -- 2.1% 189 BNP Paribas...................... $ 9,266 577 Credit Agricole.................. 11,242 1,950 Societe Generale, Class A........ 129,893 ---------- 150,401 ---------- Building -- 0.2% 186 Eiffage.......................... 17,881 ---------- Chemicals -- 1.1% 1,908 Rhodia........................... 11,976 4,320 Suez............................. 68,571 ---------- 80,547 ---------- Drugs -- 0.1% 121 Aventis.......................... 6,278 ---------- Financial Investments -- 0.2% 158 Societe Fonciere, Financiere et de Participations.............. 16,560 ---------- Insurance -- 0.7% 1,029 CNP Assurances................... 46,806 ---------- Media -- 0.6% 50 Lagardere S.C.A. ................ 2,265 2,191 Thomson*......................... 38,171 ---------- 40,436 ---------- Metals -- 0.0% 12 Nexans........................... 273 ---------- Oil -- International -- 0.4% 200 Total Fina Elf................... 30,185 ---------- Soap & Cosmetics -- 0.7% 1,007 Christian Dior................... 50,156 ---------- Software -- 0.5% 840 Cap Gemini*...................... 34,825 ---------- Telephone -- 0.1% 750 Alcatel*......................... 8,883 ---------- Wholesale -- 1.2% 2,360 Compagnie de Saint-Gobain........ 86,765 ---------- 676,724 ---------- GERMANY -- 9.6% Airlines -- 0.5% 2,920 Deutsche Lufthansa............... 38,255 ---------- Chemicals -- 0.6% 550 Celanese......................... 17,966 2,310 MG Technolgies................... 27,170 ---------- 45,136 ---------- Drugs -- 3.0% 5,230 Bayer............................ 112,676 1,300 Degussa.......................... 36,788 1,395 Merck KGaA....................... 44,675 546 Schwarz Pharma................... 12,412 ---------- 206,551 ---------- Electric Utilities -- 1.1% 2,930 RWE.............................. 77,797 ---------- Instruments -- 0.0% 27 Fresenius........................ 2,012 ----------
See accompanying notes to the financial statements. 66 AXA ROSENBERG EUROPEAN FUND SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- SEPTEMBER 30, 2003 (UNAUDITED) --------------------------------------------------------------------------------
SHARES VALUE ------ ------------ COMMON STOCKS (CONTINUED) GERMANY (CONTINUED) IT Hardware -- 0.1% 603 Infineon Technologies............ $ 7,851 ---------- Machinery -- 1.5% 1,850 Siemens.......................... 110,177 ---------- Miscellaneous Financial -- 2.8% 3,270 Deutsche Bank.................... 198,972 ---------- 686,751 ---------- GREECE -- 0.6% Banks -- 0.2% 150 Bank of Greece................... 16,542 ---------- Building -- 0.0% 686 Technical Olympic................ 3,132 ---------- Telephone -- 0.4% 1,940 Hellenic Telecommunications Organization................... 21,192 ---------- 40,866 ---------- ITALY -- 4.9% Banks -- 0.5% 3,000 Banc Monte dei Paschi di Siena... 8,245 1,025 Banco Intesa..................... 3,104 10,000 Capitalia*....................... 23,990 ---------- 35,339 ---------- Building -- 0.0% 2,674 Impregilo........................ 1,628 44 Permasteelisa.................... 711 ---------- 2,339 ---------- Construction Materials -- 0.0% 94 Buzzi Unicem..................... 953 16 Italmobiliare.................... 710 ---------- 1,663 ---------- Food -- 0.4% 10,000 Parmalat Finanziaria............. 31,385 ---------- Instruments -- 0.2% 6,000 Snia............................. 11,774 ---------- Media -- 0.0% 693 Compagnie Industriali Riunite.... 985 ---------- Metals -- 0.0% 10,000 Societa Metallurgica Italiana.... 3,587 ---------- Oil -- International -- 3.3% 15,000 Eni.............................. 229,182 ---------- Retail -- 0.2% 4,229 Ifil*............................ 12,115 ---------- Telephone -- 0.3% 9,678 Telecom Italia................... 23,837 ---------- 352,206 ---------- NETHERLANDS -- 9.2% Banks -- 1.8% 7,120 ABN AMRO Holding................. 131,422 ---------- Building -- 0.0% 178 Heijmans N.V. ................... 3,543 ----------
SHARES VALUE ------ ------------ COMMON STOCKS (CONTINUED) NETHERLANDS (CONTINUED) Cellular -- 0.8% 7,873 Koninklijke (Royal) KPN*......... $ 58,953 ---------- Food -- 2.9% 3,414 Unilever......................... 200,777 ---------- IT Hardware -- 2.5% 7,770 Koninklijke (Royal) Philips Electronics.................... 176,085 ---------- Machinery -- 0.0% 45 Stork............................ 731 ---------- Media -- 0.8% 1,910 VNU.............................. 55,985 ---------- Office Machinery -- 0.2% 1,050 Oce.............................. 14,478 ---------- Oil -- International -- 0.2% 398 Royal Dutch Petroleum Co. ....... 17,478 ---------- 659,452 ---------- PORTUGAL -- 0.9% Electric Utilities -- 0.7% 23,000 Electricidade de Portugal........ 52,765 ---------- Telephone -- 0.2% 1,870 Portugal Telecom, SGPS........... 14,787 ---------- 67,552 ---------- SPAIN -- 7.3% Airlines -- 0.3% 10,680 Iberia Lineas Aereas de Espana... 22,014 ---------- Banks -- 0.3% 2,325 Banco Santander Central Hispano........................ 19,711 ---------- Building -- 0.3% 448 Fomento de Construcciones y Contratas...................... 13,831 1,420 Obrascon Huarte Lain............. 8,020 ---------- 21,851 ---------- Electric Utilities -- 3.0% 6,775 Endesa........................... 104,698 6,620 Iberdrola........................ 111,400 ---------- 216,098 ---------- Telephone -- 3.4% 20,770 Telefonica....................... 245,263 ---------- 524,937 ---------- SWEDEN -- 3.3% Banks -- 1.2% 15,000 Nordea........................... 85,516 ---------- Building -- 0.1% 1,100 Skanska, Class B................. 6,996 ---------- Cellular -- 1.7% 238 Tele2 AB, B shares*.............. 10,399 25,685 TeliaSonera...................... 111,568 ---------- 121,967 ---------- Instruments -- 0.3% 3,200 Gambro, A Shares................. 21,925 ---------- 236,404 ----------
See accompanying notes to the financial statements. 67 AXA ROSENBERG EUROPEAN FUND SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- SEPTEMBER 30, 2003 (UNAUDITED) --------------------------------------------------------------------------------
SHARES VALUE ------ ------------ COMMON STOCKS (CONTINUED) SWITZERLAND -- 11.5% Banks -- 3.9% 5,000 UBS.............................. $ 280,555 ---------- Chemicals -- 0.9% 620 Ciba Specialty Chemicals......... 42,042 432 Syngenta......................... 23,422 ---------- 65,464 ---------- Drugs -- 4.4% 220 Novartis......................... 8,513 3,700 Roche Holding.................... 306,793 ---------- 315,306 ---------- Food -- 0.1% 44 Nestle........................... 10,145 ---------- Household -- 0.7% 2,493 Swatch Group..................... 47,855 ---------- Insurance -- 0.3% 164 Swiss Life Holdings*............. 22,353 ---------- Machinery -- 0.2% 190 Saurer........................... 6,906 28 Sulzer........................... 5,332 ---------- 12,238 ---------- Miscellaneous Financial -- 1.0% 2,193 Credit Suisse Group.............. 70,161 ---------- 824,077 ---------- UNITED KINGDOM -- 37.0% Aircraft -- 0.2% 4,000 BAE SYSTEMS...................... 11,165 ---------- Airlines -- 0.1% 2,435 BBA Group........................ 9,901 ---------- Banks -- 9.3% 22,000 Barclays......................... 168,773 18,000 HBOS............................. 205,749 7,347 HSBC Holdings.................... 96,857 8,000 Royal Bank of Scotland Group..... 203,355 ---------- 674,734 ---------- Building -- 2.5% 3,312 Barratt Developments............. 27,953 1,375 Bellway.......................... 13,707 1,865 Berkeley Group................... 24,339 1,125 Bovis Homes Group................ 8,957 4,402 George Wimpey.................... 26,694 1,798 Mowlem........................... 6,040 3,457 Persimmon........................ 30,900 7,000 Taylor Woodrow................... 26,923 2,000 Westbury......................... 13,540 ---------- 179,053 ---------- Cellular -- 3.8% 10,829 mm02*............................ 10,300 132,000 Vodafone Group................... 263,166 ---------- 273,466 ----------
SHARES VALUE ------ ------------ COMMON STOCKS (CONTINUED) UNITED KINGDOM (CONTINUED) Construction Materials -- 1.3% 8,559 Aggregate Industries............. $ 12,122 6,481 Hanson........................... 41,051 4,000 RMC Group........................ 39,608 ---------- 92,781 ---------- Drugs -- 2.5% 8,793 GlaxoSmithKline.................. 182,463 ---------- Food -- 2.1% 17,904 Unilever*........................ 152,893 ---------- Insurance -- 2.4% 17,000 Aviva............................ 131,899 28,025 Old Mutual*...................... 43,185 ---------- 175,084 ---------- IT Hardware -- 0.1% 2,108 TT Electronics................... 4,383 ---------- Machinery -- 0.2% 6,589 Novar*........................... 15,161 208 Rexam*........................... 1,372 ---------- 16,533 ---------- Media -- 1.3% 7,000 Pearson.......................... 66,319 2,801 Trinity Mirror................... 26,175 ---------- 92,494 ---------- Oil -- 0.3% 2,993 Xstrata.......................... 23,098 ---------- Oil -- International -- 3.0% 16,300 BP............................... 111,844 16,800 Shell Transport & Trading Co. ... 103,691 ---------- 215,535 ---------- Other Utilities -- 1.1% 2,000 Pennon Group..................... 19,771 3,200 Severn Trent..................... 35,700 3,000 United Utilities................. 22,877 ---------- 78,348 ---------- Paper -- 1.7% 7,000 Anglo American................... 125,718 ---------- Retail -- 2.0% 17,000 J Sainsbury...................... 76,611 3,175 lastminute.com*.................. 13,451 2,411 Monsoon.......................... 5,428 6,824 Somerfield....................... 14,002 3,142 WH Smith......................... 19,471 19,003 Woolworths Group*................ 13,970 ---------- 142,933 ---------- Services -- 0.8% 13,000 Reuters Group.................... 45,842 8,257 Securicor........................ 11,455 ---------- 57,297 ---------- Soap & Cosmetics -- 0.1% 3,455 Body Shop International.......... 6,913 ----------
See accompanying notes to the financial statements. 68 AXA ROSENBERG EUROPEAN FUND SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- SEPTEMBER 30, 2003 (UNAUDITED) --------------------------------------------------------------------------------
SHARES VALUE ------ ------------ COMMON STOCKS (CONTINUED) UNITED KINGDOM (CONTINUED) Telephone -- 2.2% 51,898 BT Group......................... $ 155,202 ---------- 2,669,994 ---------- TOTAL INVESTMENTS (COST $6,433,631) (A) -- 98.2%................... 7,060,939 OTHER ASSETS IN EXCESS OF LIABILITIES -- 1.8%............ 128,152 ---------- NET ASSETS -- 100.0%............. $7,189,091 ==========
--------------- * Non-income producing security. (a) Represents cost for financial reporting purposes, is substantially the same as federal income tax purposes, and differs from value by net unrealized appreciation of securities as follows: Unrealized appreciation................. $ 819,814 Unrealized depreciation................. (192,506) --------- Net unrealized appreciation............. $ 627,308 =========
See accompanying notes to the financial statements. 69 AXA ROSENBERG U.S. LARGE/MID CAPITALIZATION LONG/SHORT EQUITY FUND (A) SCHEDULE OF PORTFOLIO INVESTMENTS -- SEPTEMBER 30, 2003 (UNAUDITED) --------------------------------------------------------------------------------
SHARES VALUE ---------- ----------- COMMON STOCKS -- 87.0% AUTOS -- 1.0% 8,500 Textron, Inc. ............... $ 335,325 ----------- BANKS -- 12.4% 18,800 Bank of America Corp. ....... 1,467,151 13,100 Bank One Corp. .............. 506,315 11,500 Banknorth Group, Inc. ....... 324,530 10,200 Hibernia Corp., Class A...... 206,652 6,600 Marshall & Ilsley Corp. ..... 208,032 9,166 New York Community Bancorp, Inc. ...................... 288,821 10,400 PNC Financial Services Group...................... 494,832 18,900 Wachovia Corp. .............. 778,491 ----------- 4,274,824 ----------- BIOTECHNOLOGY -- 1.1% 4,700 Genentech, Inc.*............. 376,658 ----------- BUILDING -- 2.5% 4,500 Centex Corp. ................ 350,460 7,300 D.R. Horton, Inc. ........... 238,710 350 Lennar Corp., B Shares....... 26,243 3,700 Pulte Homes, Inc. ........... 251,637 ----------- 867,050 ----------- CELLULAR -- 0.6% 10,500 Nextel Communications, Inc., Class A*................... 206,745 ----------- CHEMICALS -- 0.6% 6,900 Sherwin-Williams Co. ........ 202,929 ----------- COMPUTER -- 3.6% 37,000 Dell, Inc.*.................. 1,235,430 ----------- DEFENSE -- 0.2% 2,000 Raytheon Co. ................ 56,000 ----------- DRUGS -- 5.4% 2,700 Barr Laboratories, Inc.*..... 184,167 500 Bristol-Myers Squibb Co. .... 12,830 2,930 Medco Health Solutions, Inc.*...................... 75,975 20,000 Merck & Co., Inc. ........... 1,012,400 9,300 Mylan Laboratories, Inc. .... 359,445 5,700 Watson Pharmaceuticals, Inc.*...................... 237,633 ----------- 1,882,450 ----------- ELECTRIC UTILITIES -- 4.6% 8,400 Constellation Energy Group, Inc. ...................... 300,552 36,300 Duke Energy Corp. ........... 646,503 8,600 Entergy Corp. ............... 465,690 4,800 SCANA Corp. ................. 164,400 ----------- 1,577,145 ----------- FOOD -- 2.7% 1,200 Campbell Soup Co. ........... 31,800 19,900 PepsiCo, Inc. ............... 912,017 ----------- 943,817 ----------- HEALTH -- 0.5% 5,500 Health Net, Inc.*............ 174,185 ----------- HOUSEHOLD -- 1.0% 6,100 Fortune Brands, Inc. ........ 346,175 -----------
SHARES VALUE ---------- ----------- COMMON STOCKS (CONTINUED) INSTRUMENTS -- 3.6% 7,500 Boston Scientific Corp.*..... $ 478,500 6,200 Johnson Controls, Inc. ...... 586,520 8,600 Thermo Electron Corp.*....... 186,620 ----------- 1,251,640 ----------- INSURANCE -- 4.3% 12,400 Aon Corp. ................... 258,540 3,900 Everest Re Group, Ltd. ...... 293,124 8,011 Fidelity National Financial, Inc. ...................... 240,811 5,000 John Hancock Financial Services, Inc. ............ 169,000 8,900 Old Republic International Corp. ..................... 294,501 5,300 RenaissanceRe Holdings, Ltd. ...................... 241,839 ----------- 1,497,815 ----------- IT HARDWARE -- 6.4% 49,000 Cisco Systems, Inc.*......... 957,460 43,000 Intel Corp. ................. 1,182,930 3,400 Intersil Corp., Class A*..... 80,920 ----------- 2,221,310 ----------- MACHINERY -- 2.7% 1,300 American Standard Cos., Inc.*...................... 109,525 2,400 Masco Corp. ................. 58,752 6,200 Rockwell Automation, Inc. ... 162,750 7,800 United Technologies Corp. ... 602,784 ----------- 933,811 ----------- MEDIA -- 2.1% 100 Tribune Co. ................. 4,590 18,700 Viacom, Inc., Class A........ 718,080 ----------- 722,670 ----------- MISCELLANEOUS FINANCIAL -- 2.9% 26,700 J.P. Morgan Chase & Co. ..... 916,611 6,300 Janus Capital Group, Inc. ... 88,011 ----------- 1,004,622 ----------- OFFICE MACHINERY -- 0.6% 17,000 EMC Corp.*................... 214,710 ----------- OIL -- INTEGRATED -- 3.2% 11,900 ChevronTexaco Corp. ......... 850,255 8,600 Marathon Oil Corp. .......... 245,100 ----------- 1,095,355 ----------- REAL ESTATE INVESTMENT TRUSTS -- 0.9% 5,900 Equity Office Properties Trust...................... 162,427 3,800 iStar Financial, Inc. ....... 148,010 ----------- 310,437 ----------- RETAIL -- 9.7% 8,000 CVS Corp. ................... 248,480 8,000 Dollar General Corp. ........ 160,000 3,000 Dollar Tree Stores, Inc.*.... 100,500 8,900 Family Dollar Stores, Inc. ...................... 355,021 13,500 Federated Department Stores, Inc. ...................... 565,650 16,600 J.C. Penney Co., Inc. ....... 354,742 10,400 Lowe's Cos., Inc. ........... 539,760 17,600 Office Depot, Inc.*.......... 247,280 3,500 Sears, Roebuck & Co. ........ 153,055
See accompanying notes to the financial statements. 70 AXA ROSENBERG U.S. LARGE/MID CAPITALIZATION LONG/SHORT EQUITY FUND (A) SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- SEPTEMBER 30, 2003 (UNAUDITED) --------------------------------------------------------------------------------
SHARES VALUE ---------- ----------- COMMON STOCKS (CONTINUED) RETAIL (CONTINUED) 7,100 Staples, Inc.*............... $ 168,625 23,700 TJX Cos., Inc. .............. 460,254 ----------- 3,353,367 ----------- SERVICES -- 4.5% 8,600 Apollo Group, Inc., Class A*......................... 567,858 26,700 Prudential Financial, Inc. ...................... 997,512 ----------- 1,565,370 ----------- SOAPS & COSMETICS -- 1.9% 6,000 Avon Products, Inc. ......... 387,360 8,000 Estee Lauder Co., Inc., Class A.......................... 272,800 ----------- 660,160 ----------- SOFTWARE -- 2.1% 3,100 Adobe Systems, Inc. ......... 121,706 7,200 Electronic Data Systems Corp. ..................... 145,440 17,000 Microsoft Corp. ............. 472,430 ----------- 739,576 ----------- TELEPHONE -- 0.2% 4,800 AOL Time Warner, Inc.*....... 72,528 ----------- TEXTILES -- 1.8% 6,700 Coach, Inc.*................. 365,820 8,000 Liz Claiborne, Inc. ......... 272,400 ----------- 638,220 ----------- TRANSPORTATION -- 2.0% 24,500 Burlington Northern Santa Fe Corp. ..................... 707,315 ----------- TRAVEL & ENTERTAINMENT --1.4% 7,800 Cendant Corp.*............... 145,782 14,500 McDonald's Corp. ............ 341,330 ----------- 487,112 -----------
SHARES OR PRINCIPAL VALUE ---------- ----------- COMMON STOCKS (CONTINUED) WHOLESALE -- 0.5% 5,000 Sysco Corp. ................. $ 163,550 ----------- TOTAL COMMON STOCKS.......... 30,118,301 ----------- REPURCHASE AGREEMENTS --13.5% $4,666,467 Bear Stearns dated 09/30/03, due 10/1/03 at 0.96% with a maturity value of $4,666,592 (Fully collateralized by U.S. Treasury Bonds)............ 4,666,467 ----------- TOTAL REPURCHASE AGREEMENTS................. 4,666,467 ----------- TOTAL INVESTMENTS (COST $31,506,435) (B) -- 100.51%............. 34,784,768 LIABILITIES IN EXCESS OF OTHER ASSETS -- (0.51%).... (177,048) ----------- NET ASSETS -- 100.0%......... $34,607,720 ===========
--------------- * Non-income producing security. (a) All long positions are pledged as collateral for securities sold short. (b) Represents cost for financial reporting purposes, is substantially the same as federal income tax purposes, and differs from value by net unrealized appreciation of securities as follows: Unrealized appreciation................ $3,509,436 Unrealized depreciation................ (231,103) ---------- Net unrealized appreciation............ $3,278,333 ==========
See accompanying notes to the financial statements. 71 AXA ROSENBERG U.S. LARGE/MID CAPITALIZATION LONG/SHORT EQUITY FUND SCHEDULE OF SECURITIES SOLD SHORT -- SEPTEMBER 30, 2003 (UNAUDITED) --------------------------------------------------------------------------------
SHARES VALUE ------ ----------- COMMON STOCKS -- 85.6% BANKS -- 11.2% 15,000 Fifth Third Bancorp.............. $ 829,050 40,300 General Electric Co. ............ 1,201,343 11,100 North Fork Bancorporation, Inc. .......................... 385,725 9,245 Northern Trust Corp. ............ 392,358 20,900 Wells Fargo & Co. ............... 1,076,350 ----------- 3,884,826 ----------- BIOTECHNOLOGY -- 1.7% 8,200 IDEC Pharmaceuticals Corp.*...... 271,830 21,400 Millennium Pharmaceuticals, Inc.*.......................... 329,346 ----------- 601,176 ----------- CHEMICALS -- 1.1% 8,200 Air Products & Chemicals, Inc. .......................... 369,820 ----------- DEFENSE -- 4.7% 25,300 Boeing Co. ...................... 868,549 8,900 Northrop Grumman Corp. .......... 767,358 ----------- 1,635,907 ----------- DRUGS -- 4.4% 17,400 Abbott Laboratories.............. 740,370 12,900 Eli Lilly & Co. ................. 766,260 ----------- 1,506,630 ----------- ELECTRIC UTILITIES -- 5.0% 28,500 AES Corp.*....................... 211,470 2,400 DTE Energy Co. .................. 88,536 500 Exelon Corp. .................... 31,750 12,800 Sempra Energy.................... 375,808 14,200 Southern Co. .................... 416,344 22,100 TXU Corp. ....................... 520,676 5,000 Xcel Energy, Inc. ............... 77,350 ----------- 1,721,934 ----------- FOOD -- 3.6% 19,800 Coca-Cola Co. ................... 850,608 13,500 Kraft Foods, Inc., Class A....... 398,250 ----------- 1,248,858 ----------- HEALTH -- 5.5% 23,900 HCA, Inc. ....................... 880,954 10,200 Laboratory Corp. of America Holdings Corp.*................ 292,740 5,600 Quest Diagnostics, Inc.*......... 339,584 26,600 Tenet Healthcare Corp.*.......... 385,168 ----------- 1,898,446 ----------- HOUSEHOLD -- 0.0% 300 Newell Rubbermaid, Inc. ......... 6,501 ----------- INSTRUMENTS -- 4.2% 1,000 Agilent Technologies, Inc.*...... 22,110 11,500 Applera Corp. ................... 256,565 27,000 Baxter International, Inc. ...... 784,620 8,600 Medtronic, Inc. ................. 403,512 ----------- 1,466,807 ----------- INSURANCE -- 0.7% 8,000 Willis Group Holdings, Ltd. ..... 246,000 -----------
SHARES VALUE ------ ----------- COMMON STOCKS (CONTINUED) IT HARDWARE -- 0.7% 4,000 L-3 Communications Hldgs, Inc.*.......................... $ 173,000 2,100 Molex, Inc. ..................... 60,039 ----------- 233,039 ----------- LIQUOR & TOBACCO -- 3.0% 19,600 Altria Group, Inc. .............. 858,480 4,500 R.J. Reynolds Tobacco Holdings, Inc. .......................... 177,930 ----------- 1,036,410 ----------- MACHINERY -- 1.4% 900 ITT Industries, Inc. ............ 53,856 5,700 Parker-Hannifin Corp. ........... 254,790 4,000 SPX Corp.*....................... 181,120 ----------- 489,766 ----------- MEDIA -- 1.9% 27,100 Interpublic Group of Cos., Inc. .......................... 382,652 4,200 Knight-Ridder, Inc. ............. 280,140 ----------- 662,792 ----------- METALS -- 0.8% 6,000 Nucor Corp. ..................... 275,280 ----------- MISCELLANEOUS FINANCIAL -- 2.0% 56,800 Charles Schwab Corp. ............ 676,488 ----------- OIL DISTRIBUTION -- 0.7% 33,700 El Paso Corp. ................... 246,010 ----------- OIL SERVICES -- 0.7% 7,000 Noble Corp.*..................... 237,930 ----------- OTHER UTILITIES -- 2.5% 32,700 Waste Management, Inc. .......... 855,759 ----------- PAPER -- 1.7% 7,000 Avery Dennison Corp. ............ 353,640 9,600 Plum Creek Timber Co. ........... 244,224 ----------- 597,864 ----------- REAL ESTATE INVESTMENT TRUSTS -- 0.9% 800 Equity Residential............... 23,424 6,500 Simon Property Group, Inc. ...... 283,270 ----------- 306,694 ----------- RETAIL -- 10.6% 2,900 Caremark Rx, Inc.*............... 65,540 1,600 CDW Corp. ....................... 92,384 15,500 Kohl's Corp.*.................... 829,250 46,600 Kroger Co.*...................... 832,742 17,500 May Department Stores Co. ....... 431,025 8,600 Wal-Mart Stores, Inc. ........... 480,310 30,200 Walgreen Co. .................... 925,328 ----------- 3,656,579 ----------- SERVICES -- 1.2% 12,600 IMS Health, Inc. ................ 265,860 7,900 Robert Half International, Inc.*.......................... 154,050 ----------- 419,910 ----------- SOFTWARE -- 1.8% 7,200 Affiliated Computer Services, Inc. Class A*.................. 350,568 5,400 Intuit, Inc.*.................... 260,496 ----------- 611,064 -----------
See accompanying notes to the financial statements. 72 AXA ROSENBERG U.S. LARGE/MID CAPITALIZATION LONG/SHORT EQUITY FUND SCHEDULE OF SECURITIES SOLD SHORT (CONTINUED) -- SEPTEMBER 30, 2003 (UNAUDITED) --------------------------------------------------------------------------------
SHARES VALUE ------ ----------- COMMON STOCKS (CONTINUED) TELEPHONE -- 8.6% 20,000 NTL, Inc.*....................... $ 942,400 38,500 SBC Communications, Inc. ........ 856,625 35,800 Verizon Communications, Inc. .... 1,161,352 ----------- 2,960,377 ----------- TEXTILES -- 1.0% 9,000 Cintas Corp. .................... 331,560 ----------- TRANSPORTATION -- 2.3% 12,300 United Parcel Service, Inc., Class B........................ 784,740 -----------
SHARES VALUE ------ ----------- COMMON STOCKS (CONTINUED) TRAVEL & ENTERTAINMENT -- 1.9% 6,500 Harrah's Entertainment, Inc. .... $ 273,715 24,200 Hilton Hotels Corp. ............. 392,524 ----------- 666,239 ----------- TOTAL SECURITIES SOLD SHORT (PROCEEDS $27,178,740) 85.6%... $29,635,406 ===========
--------------- * Non-income producing security. See accompanying notes to the financial statements. 73 AXA ROSENBERG VALUE LONG/SHORT EQUITY FUND (A) SCHEDULE OF PORTFOLIO INVESTMENTS -- SEPTEMBER 30, 2003 (UNAUDITED) --------------------------------------------------------------------------------
SHARES VALUE ---------- ------------ COMMON STOCKS -- 92.0% AIRCRAFT -- 0.0% 200 Curtiss-Wright Corp. ....... $ 14,124 ------------ AIRLINES -- 0.1% 1,900 AirTran Holdings, Inc.*..... 31,825 4,500 MAIR Holdings, Inc.*........ 30,555 ------------ 62,380 ------------ AUTOS -- 1.3% 100 Edelbrock Corp. ............ 1,105 3,600 R&B, Inc.*.................. 46,368 34,600 Textron, Inc. .............. 1,364,970 ------------ 1,412,443 ------------ BANKS -- 3.8% 100 ACE Cash Express, Inc.*..... 1,465 35,900 Advanta Corp., Class A...... 394,900 300 American Residential Investment Trust, Inc.*... 2,454 700 ASTA Funding, Inc. ......... 18,192 1,900 Berkshire Bancorp, Inc. .... 81,700 200 Central Bancorp, Inc. ...... 6,934 1,900 Citizens First Bancorp, Inc. ..................... 39,330 13,000 Colonial BancGroup, Inc. ... 187,720 1,200 Crescent Banking Co. ....... 36,048 849 Doral Financial Corp. ...... 39,903 1,600 First Bancshares, Inc. ..... 32,877 1,100 First Citizens BancShares, Inc., Class A............. 116,270 14,600 Flagstar Bancorp, Inc. ..... 335,070 14,900 Hibernia Corp., Class A..... 301,874 500 Horizon Bancorp............. 17,875 6,900 HPSC, Inc.*................. 62,100 300 InterCept, Inc.*............ 4,101 2,300 Intervest Bancshares Corp.*.................... 29,785 24,300 Irwin Financial Corp. ...... 590,489 4,600 ITLA Capital Corp.*......... 196,006 700 Jacksonville Bancorp, Inc. ..................... 26,082 100 Kankakee Bancorp, Inc. ..... 5,175 1,300 LSB Financial Corp. ........ 31,850 2,550 New Century Financial Corp. .................... 72,216 3,000 North Central Bancshares, Inc. ..................... 107,280 100 Northeast Pennsylvania Financial Corp. .......... 1,750 400 Northway Financial, Inc. ... 11,924 100 Pinnacle Bancshares, Inc. ..................... 1,390 9,859 Provident Financial Group, Inc. ..................... 275,658 3,800 PSB Bancorp, Inc.*.......... 31,540 8,400 R & G Financial Corp., Class B......................... 245,280 100 Republic Bancshares, Inc. ..................... 2,856 18,500 Riggs National Corp. ....... 291,375 700 Saxon Capital, Inc.*........ 11,998 1,350 The Washington Savings Bank, F.S.B..................... 12,623 100 UICI*....................... 1,254 15 UMB Financial Corp. ........ 708 1,785 Unity Bancorp, Inc.*........ 19,992 3,993 Wainwright Bank & Trust Co. ...................... 45,197 300 Wells Financial Corp. ...... 8,061
SHARES VALUE ---------- ------------ COMMON STOCKS (CONTINUED) BANKS (CONTINUED) 7,400 Westcorp.................... $ 258,630 5,000 WFS Financial, Inc.*........ 185,150 ------------ 4,143,082 ------------ BIOTECHNOLOGY -- 1.8% 14,700 Celgene Corp.*.............. 636,951 3,900 Curis, Inc.*................ 17,238 16,600 Invitrogen Corp.*........... 962,634 23,000 Nabi Biopharmaceuticals, Inc.*..................... 193,890 17,200 Savient Pharmaceuticals, Inc.*..................... 86,860 9,285 Third Wave Technologies*.... 29,991 ------------ 1,927,564 ------------ BUILDING -- 3.2% 1,100 Coachmen Industries, Inc. ..................... 12,881 600 D.R. Horton, Inc. .......... 19,620 1,700 Dominion Homes, Inc.*....... 43,741 9,900 Hovnanian Enterprises, Inc., Class A*.................. 637,263 1,690 Lennar Corp., B Shares...... 126,716 1,100 M/I Schottenstein Homes, Inc. ..................... 43,637 3,700 Matrix Service Co.*......... 65,712 16,500 Pulte Homes, Inc. .......... 1,122,165 13,400 Ryland Group, Inc. ......... 979,674 5,500 Skyline Corp. .............. 176,110 8,100 Technical Olympic USA, Inc.*..................... 222,750 ------------ 3,450,269 ------------ CHEMICALS -- 1.8% 7,600 Bairnco Corp. .............. 52,972 26,700 Cytec Industries, Inc.*..... 974,550 8,200 Esterline Technologies Corp.*.................... 158,178 600 Ethyl Corp.*................ 7,548 4,600 Great Lakes Chemical Corp. .................... 92,506 1,200 Hercules, Inc.*............. 13,596 400 Octel Corp. ................ 6,960 21,300 Sherwin-Williams Co. ....... 626,433 2,900 Stepan Co. ................. 66,062 ------------ 1,998,805 ------------ CONSTRUCTION MATERIALS -- 0.5% 12,000 Ameron International Corp. .................... 396,120 1,500 Continental Materials Corp.*.................... 34,875 2,000 Martin Marietta Materials, Inc. ..................... 72,900 100 U.S. Concrete, Inc.*........ 512 ------------ 504,407 ------------ DEFENSE -- 0.5% 16,280 Griffon Corp.*.............. 292,389 6,200 KVH Industries, Inc.*....... 156,302 2,600 Lowrance Electronics, Inc. ..................... 30,134 1,900 Todd Shipyards Corp. ....... 30,400 ------------ 509,225 ------------ DRUGS -- 3.7% 18,900 Alpharma, Inc., Class A..... 351,540 150 American Pharmaceuticals, Inc.*..................... 4,703 3,300 E-Z-EM, Inc. ............... 40,095 16,100 Endo Pharmaceuticals Holdings, Inc.*........... 329,245 4,200 Genencor International, Inc.*..................... 65,898 28,000 ICN Pharmaceuticals, Inc. ..................... 480,480
See accompanying notes to the financial statements. 74 AXA ROSENBERG VALUE LONG/SHORT EQUITY FUND (A) SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- SEPTEMBER 30, 2003 (UNAUDITED) --------------------------------------------------------------------------------
SHARES VALUE ---------- ------------ COMMON STOCKS (CONTINUED) DRUGS (CONTINUED) 4,600 Inverness Medical Innovation, Inc.*......... $ 116,840 12,500 Medicis Pharmaceutical Corp., Class A............ 732,499 20,300 Meridian Bioscience, Inc. ..................... 203,406 20,300 Nature's Sunshine Products, Inc. ..................... 168,490 5,500 NBTY, Inc.*................. 128,425 20,000 Nutraceutical International Corp.*.................... 207,400 47,600 Perrigo Co. ................ 605,948 5,568 SeraCare Life Sciences, Inc.*..................... 38,141 100 Spectrum Pharmaceuticals, Inc.*..................... 660 13,200 Watson Pharmaceuticals, Inc.*..................... 550,308 ------------ 4,024,078 ------------ DURABLES -- 0.8% 2,700 Harman International Industries, Inc. ......... 265,545 10,600 Thor Industries, Inc. ...... 572,612 ------------ 838,157 ------------ ELECTRIC UTILITIES -- 2.8% 20,200 Central Vermont Public Service Corp. ............ 448,036 33,600 Constellation Energy Group, Inc. ..................... 1,202,208 35,000 Great Plains Energy, Inc. ..................... 1,061,200 1,400 Green Mountain Power Corp. .................... 31,570 1,600 Maine & Maritimes Corp. .... 57,600 4,300 SCANA Corp. ................ 147,275 5,400 Unisource Energy Corp. ..... 102,708 1,100 Unitil Corp. ............... 27,577 ------------ 3,078,174 ------------ FINANCIAL INVESTMENTS --2.5% 23,250 Aaron Rents, Inc. .......... 487,088 400 American Capital Strategies, Ltd. ..................... 9,944 4,700 California First National Bancorp................... 54,247 1,500 Choice Hotels International, Inc.*..................... 43,530 200 Fog Cutter Capital Group, Inc. ..................... 1,014 3,400 G-III Apparel Group, Ltd.*..................... 33,116 11,000 LNR Property Corp. ......... 450,450 8,500 PICO Holdings, Inc.*........ 111,095 41,500 Rent-A-Center, Inc.*........ 1,340,450 4,100 Rent-Way, Inc.*............. 22,017 15,800 TechTeam Global, Inc.*...... 96,538 4,700 Willis Lease Finance Corp.*.................... 25,803 ------------ 2,675,292 ------------ FOOD -- 1.1% 300 Cal-Maine Foods, Inc. ...... 2,250 17,850 Flowers Foods, Inc. ........ 406,980 4,100 John B. Sanfilippo & Son, Inc.*..................... 87,166 3,400 National Beverage Corp.*.... 51,340 21,900 PepsiAmericas, Inc. ........ 317,331 800 Seaboard Corp. ............. 172,080 3,500 Seneca Foods Corp., Class B*........................ 66,500 1,300 Zapata Corp.*............... 72,670 ------------ 1,176,317 ------------ HEALTH -- 4.4% 3,100 Beverly Enterprises, Inc.*..................... 18,352 27,200 Coventry Health Care, Inc.*..................... 1,434,528
SHARES VALUE ---------- ------------ COMMON STOCKS (CONTINUED) HEALTH (CONTINUED) 98 Gentiva Health Services, Inc.*..................... $ 1,127 11,900 Health Net, Inc.*........... 376,873 83,900 Humana, Inc.*............... 1,514,395 26,100 Mid Atlantic Medical Services, Inc.*........... 1,342,323 6,156 National Home Health Care Corp.*.................... 50,479 ------------ 4,738,077 ------------ HOUSEHOLD -- 2.3% 24,700 Acuity Brands, Inc. ........ 446,082 2,000 American Biltrite, Inc. .... 13,600 1,800 American Locker Group, Inc.*..................... 21,656 4,300 Bassett Furniture Industries, Inc. ......... 58,265 15,700 Callaway Golf Co. .......... 224,039 7,000 Central Garden & Pet Co.*... 182,840 2,300 Chase Corp. ................ 28,865 4,100 Communication Systems, Inc. ..................... 32,718 200 Escalade, Inc.*............. 4,232 21,700 Helen of Troy, Ltd.*........ 525,574 3,500 Hillenbrand Industries, Inc. ..................... 197,470 5,832 K2, Inc.*................... 86,605 32,800 Kimball International, Inc., Class B................... 480,848 314 Knape & Vogt Manufacturing Co. ...................... 3,454 10,300 Movado Group, Inc. ......... 225,570 700 Ohio Art Co. ............... 7,175 ------------ 2,538,993 ------------ INSTRUMENTS -- 5.7% 3,500 Badger Meter, Inc. ......... 112,315 24,600 Bausch & Lomb, Inc. ........ 1,086,089 100 Bio-Logic Systems Corp.*.... 509 15,800 Bio-Rad Laboratories, Inc., Class A*.................. 805,800 580 Candela Corp.*.............. 7,401 100 Coherent, Inc.*............. 2,463 16,300 Datascope Corp. ............ 501,062 27,100 Invacare Corp. ............. 1,018,418 2,850 Invivo Corp.*............... 44,717 600 Isco, Inc. ................. 5,310 3,200 K-Tron International, Inc.*..................... 54,400 2,100 Kewaunee Scientific Corp. .................... 20,454 100 Mesa Laboratories, Inc.*.... 901 11,000 Mine Safety Appliances Co. ...................... 600,820 4,656 New Brunswick Scientific Co., Inc.*................ 20,347 6,500 Osteotech, Inc.*............ 53,235 200 PerkinElmer, Inc. .......... 3,062 3,206 Raven Industries, Inc. ..... 79,028 15,141 Respironics, Inc.*.......... 632,591 5,000 Sola International, Inc.*... 80,000 1,800 Span-America Medical Systems, Inc. ............ 16,740 35,200 Thermo Electron Corp.*...... 763,840 9,000 Trimble Navigation, Ltd.*... 208,350 3,700 Utah Medical Products, Inc.*..................... 91,575 ------------ 6,209,427 ------------ INSURANCE -- 5.0% 17,900 American Financial Group, Inc. ..................... 389,325 2,700 AmerUs Group Co. ........... 91,800
See accompanying notes to the financial statements. 75 AXA ROSENBERG VALUE LONG/SHORT EQUITY FUND (A) SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- SEPTEMBER 30, 2003 (UNAUDITED) --------------------------------------------------------------------------------
SHARES VALUE ---------- ------------ COMMON STOCKS (CONTINUED) INSURANCE (CONTINUED) 19,300 Aon Corp. .................. $ 402,405 84 Argonaut Group, Inc. ....... 1,092 13,700 Crawford & Co., Class B..... 96,174 5,500 FBL Financial Group, Inc., Class A................... 135,520 28,600 Fidelity National Financial, Inc. ..................... 859,716 10,400 FPIC Insurance Group, Inc.*..................... 156,728 4,900 LandAmerica Financial Group, Inc. ..................... 224,616 5,700 Max Re Capital, Ltd. ....... 96,957 1,600 National Western Life Insurance Co., Class A*... 219,776 26,100 Odyssey Re Holdings Corp. .................... 537,138 7,000 Old Republic International Corp. .................... 231,630 18,900 PXRE Group, Ltd. ........... 339,255 14,900 Radian Group, Inc. ......... 661,560 10,000 Reinsurance Group of America, Inc. ............ 407,500 200 SAFECO Corp. ............... 7,052 400 Selective Insurance Group, Inc. ..................... 11,904 15,800 Stewart Information Services Corp.*.................... 446,192 8,400 Trover Solutions, Inc.*..... 59,287 ------------ 5,375,627 ------------ IT HARDWARE -- 3.2% 200 3Com Corp.*................. 1,180 9,400 ADTRAN, Inc. ............... 575,092 7,700 Cobra Electronics Corp.*.... 52,668 9,450 Comtech Telecommunications Corp.*.................... 225,950 8,500 Diodes, Inc.*............... 175,015 700 Espey Mfg. & Electronics Corp. .................... 16,065 14,500 Hutchinson Technology, Inc.*..................... 479,950 5,700 Marvel Technology Group, Ltd.*..................... 215,175 31,700 MEMC Electronic Materials, Inc.*..................... 345,847 9,000 National Semiconductor Corp.*.................... 290,610 800 Peak International, Ltd.*... 4,352 2,100 Photronics, Inc.*........... 44,646 6,405 Sparton Corp.*.............. 67,573 10,400 Standard Microsystems Corp.*.................... 280,592 1,600 Trans-Lux Corp. ............ 11,024 2,800 Video Display Corp.*........ 26,177 36,500 Vishay Intertechnology, Inc.*..................... 639,479 ------------ 3,451,395 ------------ LIQUOR & TOBACCO -- 0.0% 5,000 Todhunter International, Inc.*..................... 50,750 ------------ MACHINERY -- 4.4% 10,200 Ampco-Pittsburgh Corp. ..... 122,298 4,000 BHA Group Holdings, Inc. ... 95,040 55,600 Brunswick Corp. ............ 1,427,809 3,600 Cascade Corp. .............. 79,380 2,200 CompX International, Inc. ..................... 15,180 100 ESCO Technologies, Inc.*.... 4,527 300 Evans & Sutherland Computer Corp.*.................... 1,807 1,062 Federal Screw Works......... 35,789 600 Hardinge, Inc. ............. 4,956 1,600 International Aluminum Corp. .................... 34,816
SHARES VALUE ---------- ------------ COMMON STOCKS (CONTINUED) MACHINERY (CONTINUED) 3,900 L.S. Starrett Co., Class A......................... $ 58,500 700 Lennox International, Inc. ..................... 10,227 300 Lifetime Hoan Corp. ........ 3,138 100 Mestek, Inc.*............... 1,681 900 Minuteman International, Inc. ..................... 8,100 1,000 P & F Industries, Inc.*..... 7,550 2,125 Q.E.P. Co., Inc.*........... 21,987 800 Regal-Beloit Corp. ......... 16,320 4,400 Robbins & Myers, Inc. ...... 97,856 10,500 Rockwell Automation, Inc. ..................... 275,625 5,200 Rofin-Sinar Technologies, Inc.*..................... 109,148 35,000 Snap-on, Inc. .............. 967,750 10,400 Standard Motor Products, Inc. ..................... 105,040 5,600 Standex International Corp. .................... 136,080 2,800 Tecumseh Products Co., Class B......................... 99,400 1,600 Terex Corp.*................ 29,648 21,800 Toro Co. ................... 981,000 200 Twin Disc, Inc. ............ 3,320 300 York International Corp. ... 10,377 ------------ 4,764,349 ------------ MEDIA -- 2.4% 22,300 American Greetings Corp., Class A*.................. 433,289 6 Daily Journal Corp.*........ 161 1,500 Equity Marketing, Inc.*..... 22,649 400 Grey Global Group, Inc. .... 304,440 11,800 Hearst-Argyle Television, Inc.*..................... 285,560 5,400 Integrity Media, Inc.*...... 19,710 23,100 Media General, Inc., Class A......................... 1,411,409 5,600 Outlook Group Corp. ........ 30,974 7,000 Thomas Nelson, Inc.*........ 96,670 ------------ 2,604,862 ------------ METALS -- 1.5% 10,500 AMCOL International Corp. .................... 129,780 16,500 General Cable Corp.*........ 131,340 28,700 Harsco Corp. ............... 1,104,089 14,000 Layne Christensen Co.*...... 134,330 4,300 Olympic Steel, Inc.*........ 18,705 13,800 Ryerson Tull, Inc. ......... 107,640 ------------ 1,625,884 ------------ MISCELLANEOUS FINANCIAL -- 0.4% 3,600 Affiliated Managers Group, Inc.*..................... 226,080 5,700 Maxcor Financial Group, Inc. ..................... 78,033 5,900 Stifel Financial Corp.*..... 79,650 500 Ziegler Co., Inc. .......... 7,525 ------------ 391,288 ------------ OFFICE MACHINERY -- 1.8% 31,300 Iomega Corp.*............... 348,682 12,000 Metrologic Instruments, Inc.*..................... 431,880 10,400 Printronix, Inc.*........... 137,800 34,800 Storage Technology Corp.*... 840,072 5,000 Stratasys, Inc.*............ 213,100 ------------ 1,971,534 ------------ OIL -- 0.7% 700 Brigham Exploration Co.*.... 4,760 600 Carrizo Oil & Gas, Inc.*.... 4,260
See accompanying notes to the financial statements. 76 AXA ROSENBERG VALUE LONG/SHORT EQUITY FUND (A) SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- SEPTEMBER 30, 2003 (UNAUDITED) --------------------------------------------------------------------------------
SHARES VALUE ---------- ------------ COMMON STOCKS (CONTINUED) OIL (CONTINUED) 10,000 Chesapeake Energy Corp. .... $ 107,800 1,800 Clayton Williams Energy, Inc.*..................... 33,930 22,100 Comstock Resources, Inc.*... 295,256 11,200 Energy Partners, Ltd.*...... 124,544 17,600 KCS Energy, Inc.*........... 119,680 1,375 Patina Oil & Gas Corp. ..... 49,830 4,200 PetroCorp, Inc.*............ 56,532 200 Stone Energy Corp.*......... 7,056 ------------ 803,648 ------------ OIL -- INTEGRATED -- 0.1% 2,000 Amerada Hess Corp. ......... 100,200 ------------ OIL DISTRIBUTION -- 1.2% 17,800 Petroleum Development Corp.*.................... 213,244 26,400 Sunoco, Inc. ............... 1,061,808 900 TransMontaigne, Inc.*....... 5,364 ------------ 1,280,416 ------------ OIL SERVICES -- 0.5% 1,400 Lufkin Industries, Inc. .... 33,600 25,400 Oil States International, Inc.*..................... 322,326 10,445 Resource America, Inc., Class A................... 124,087 13,200 Torch Offshore, Inc.*....... 76,560 ------------ 556,573 ------------ OTHER UTILITIES -- 0.9% 6,600 Chesapeake Utilities Corp. .................... 151,272 35,300 ONEOK, Inc. ................ 712,001 1,300 SJW Corp. .................. 109,850 1,995 Southern Union Co.*......... 33,915 ------------ 1,007,038 ------------ PAPER -- 0.4% 1,050 CSS Industries, Inc. ....... 27,038 2,900 DSG International, Ltd. .... 22,214 16,800 Lydall, Inc.*............... 201,768 4,400 Nashua Corp.*............... 34,980 3,800 Schweitzer-Mauduit International, Inc. ...... 95,950 900 Sealed Air Corp.*........... 42,507 500 Universal Forest Products, Inc. ..................... 12,135 ------------ 436,592 ------------ REAL ESTATE DEVELOPMENT -- 0.6% 5,500 American Safety Insurance Group, Ltd. .............. 67,925 4,500 AMREP Corp. ................ 67,680 1,000 Avatar Holdings, Inc.*...... 31,980 1,500 ILX Resorts, Inc. .......... 11,250 2,700 J.W. Mays, Inc.*............ 35,532 4,500 Patriot Transportation Holding, Inc.*............ 130,950 23,600 Trizec Properties, Inc. .... 289,336 ------------ 634,653 ------------ REAL ESTATE INVESTMENT TRUSTS -- 1.9% 8,300 Brandywine Realty Trust..... 213,227 10,000 CBL & Associates Properties, Inc. ..................... 499,000
SHARES VALUE ---------- ------------ COMMON STOCKS (CONTINUED) REAL ESTATE INVESTMENT TRUSTS (CONTINUED) 7 Developers Diversified Realty Corp. ............. $ 201 11,900 ElderTrust.................. 117,215 17,300 iStar Financial, Inc. ...... 673,835 4,800 Keystone Property Trust..... 97,248 5,100 Koger Equity, Inc. ......... 95,880 1,000 Middleton Doll Co. ......... 5,400 2,600 Novastar Financial, Inc. ... 149,422 2,800 Presidential Realty Corp., Class B................... 22,400 6,700 SL Green Realty Corp. ...... 241,937 ------------ 2,115,765 ------------ RETAIL -- 6.0% 4,100 1-800 CONTACTS, Inc.*....... 82,738 27,200 AnnTaylor Stores Corp.*..... 874,208 30,300 Big Lots, Inc.*............. 479,043 2,100 Blair Corp. ................ 43,680 5,700 Borders Group, Inc.*........ 107,844 1,500 Brown Shoe Co., Inc. ....... 47,550 12,500 Burlington Coat Factory Warehouse Corp............ 233,750 8,419 Chronimed, Inc.*............ 76,865 7,600 Finish Line, Inc., Class A*........................ 199,880 1,000 Foodarama Supermarkets, Inc.*..................... 24,510 70,700 Foot Locker, Inc. .......... 1,145,339 15,000 Friedman's, Inc., Class A... 209,250 3,300 Insight Enterprises, Inc.*..................... 50,226 10,600 InterTAN, Inc.*............. 96,990 19,400 J.C. Penney Co., Inc. ...... 414,578 5,000 Jo-Ann Stores, Inc., Class A*........................ 139,500 10,300 Longs Drug Stores Corp. .... 207,339 12,500 Men's Wearhouse, Inc.*...... 320,625 900 Neiman Marcus Group, Inc., Class A*.................. 37,530 300 Pacific Sunwear of California, Inc.*......... 6,198 17,500 Ruddick Corp. .............. 271,950 300 S&K Famous Brands, Inc.*.... 5,115 3,600 Sharper Image Corp.*........ 83,016 14,500 ShopKo Stores, Inc.*........ 217,500 4,100 Sport Chalet, Inc.*......... 30,340 700 Syms Corp.*................. 4,578 32,800 Toys "R" Us, Inc.*.......... 394,584 3,900 Trans World Entertainment Corp.*.................... 22,035 2,700 Village Super Market, Inc. ..................... 73,011 14,200 Zale Corp.*................. 630,622 ------------ 6,530,394 ------------ SERVICES -- 5.4% 2,100 Ablest, Inc.*............... 11,445 2,000 Almost Family, Inc.*........ 16,240 226 Ambassadors Groups, Inc.*... 3,844 19,168 Apollo Group, Inc., Class A*........................ 1,265,664 1,794 Career Education Corp.*..... 81,268 400 Cass Information Systems, Inc. ..................... 13,140 2,000 CDI Corp. .................. 54,060 8,900 Cornell Cos., Inc.*......... 146,405 6,100 CPI Corp. .................. 112,240 100 Discovery Partners International*............ 592
See accompanying notes to the financial statements. 77 AXA ROSENBERG VALUE LONG/SHORT EQUITY FUND (A) SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- SEPTEMBER 30, 2003 (UNAUDITED) --------------------------------------------------------------------------------
SHARES VALUE ---------- ------------ COMMON STOCKS (CONTINUED) SERVICES (CONTINUED) 2,200 Ecology & Environment, Inc. ..................... $ 23,100 9,200 Exponent, Inc.*............. 159,988 6,500 Healthcare Services Group, Inc. ..................... 107,250 4,300 Horizon Health Corp.*....... 84,495 8,400 IMCO Recycling, Inc.*....... 51,660 1,900 Imperial Parking Corp.*..... 40,090 1,300 Modem Media, Inc.*.......... 6,500 5,900 Monro Muffler Brake, Inc.*..................... 174,640 44,700 MPS Group, Inc.*............ 402,300 100 Navigant International, Inc.*..................... 1,401 9,400 NCO Group, Inc.*............ 220,618 400 NCO Portfolio Management, Inc.*..................... 2,440 5,100 Opinion Research Corp.*..... 31,110 41,500 PARXEL International Corp.*.................... 635,780 6,800 Pre-Paid Legal Services, Inc.*..................... 159,256 1,100 ResortQuest International, Inc.*..................... 7,260 4,800 Schnitzer Steel Industries, Inc., Class A............. 144,144 5,900 SOURCECORP, Inc.*........... 137,175 16,100 Sylvan Learning Systems, Inc.*..................... 439,208 8,500 University of Phoenix Online*................... 565,930 87,400 US Oncology, Inc.*.......... 638,894 9,500 Volt Information Sciences, Inc.*..................... 156,750 ------------ 5,894,887 ------------ SOAPS & COSMETICS -- 0.8% 3,400 CPAC, Inc. ................. 20,706 8,000 Del Laboratories, Inc.*..... 226,000 19,100 Estee Lauder Co., Inc., Class A................... 651,310 ------------ 898,016 ------------ SOFTWARE -- 5.8% 2,000 Ascential Software Corp.*... 37,060 2,500 CIBER, Inc.*................ 19,000 1,500 Concerto Software, Inc.*.... 12,750 800 Dendrite International, Inc.*..................... 12,152 500 Edgewater Technology, Inc.*..................... 2,600 2,400 Fair Isaac Corp. ........... 141,504 800 FileNet Corp.*.............. 16,056 39,000 First American Corp. ....... 971,100 24,300 GTECH Holdings Corp. ....... 1,041,255 16,800 Hyperion Solutions Corp.*... 485,016 5,000 Keane, Inc.*................ 63,900 500 Lightbridge, Inc.*.......... 4,715 800 Manatron, Inc.*............. 5,376 1,700 Mediware Information Systems, Inc.*............ 23,885 4,900 Mentor Graphics Corp.*...... 85,897 18,700 Progress Software Corp.*.... 402,050 5,500 SPSS, Inc.*................. 92,785 10,700 SS&C Technologies, Inc. .... 213,893 78,000 Sybase, Inc.*............... 1,326,779 10,000 Sykes Enterprises, Inc.*.... 66,200 31,640 Synopsys, Inc.*............. 973,563 26,800 Systems & Computer Technology Corp.*......... 279,524 3,200 TSR, Inc. .................. 23,040 3,000 Tyler Technologies, Inc.*... 21,240 ------------ 6,321,340 ------------
SHARES VALUE ---------- ------------ COMMON STOCKS (CONTINUED) TELEPHONE -- 0.2% 4,100 Atlantic Tele-Network, Inc. ..................... $ 86,715 300 CenturyTel, Inc. ........... 10,167 900 CT Communications, Inc. .... 10,170 1,225 Golden Telecom, Inc.*....... 33,492 2,100 Hector Communications, Inc.*..................... 27,426 4,400 Playboy Enterprises, Inc., Class A*.................. 59,224 ------------ 227,194 ------------ TEXTILES -- 2.9% 100 Albany International Corp., Class A................... 3,084 4,400 Ashworth, Inc.*............. 30,492 7,000 Delta Apparel, Inc. ........ 105,700 1,210 Lakeland Industries, Inc.*..................... 14,363 31,400 Liz Claiborne, Inc. ........ 1,069,170 42,600 Phillips-Van Heusen Corp. .................... 639,426 6,700 Russell Corp. .............. 109,210 6,700 Saucony, Inc., Class A...... 92,460 14,000 Steven Madden, Ltd.*........ 265,580 41,900 Stride Rite Corp. .......... 452,520 4,700 Tandy Brands Accessories, Inc. ..................... 67,163 24,300 Tommy Hilfiger Corp.*....... 289,413 500 Wolverine World Wide, Inc. ..................... 9,700 ------------ 3,148,281 ------------ TRANSPORTATION -- 4.2% 19,200 Alexander & Baldwin, Inc. ..................... 539,136 800 C2, Inc.*................... 9,272 3,300 Celadon Group, Inc.*........ 42,405 4,600 Covenant Transport, Inc., Class A*.................. 84,640 21,600 EGL, Inc.*.................. 392,688 18,200 Frontline, Ltd. ............ 304,850 21,000 General Maritime Corp.*..... 240,240 500 Maritrans, Inc. ............ 7,500 13,050 Marten Transport, Ltd.*..... 340,605 2,924 Old Dominion Freight Line, Inc.*..................... 85,059 600 Overseas Shipholding Group, Inc. ..................... 15,510 45,600 Ryder Systems, Inc. ........ 1,336,992 24,000 Teekay Shipping Corp. ...... 1,015,200 8,496 U.S. Xpress Enterprises, Inc., Class A*............ 104,076 6,400 USA Truck, Inc.*............ 74,944 ------------ 4,593,117 ------------ TRAVEL & ENTERTAINMENT -- 3.6% 8,963 Applebee's International, Inc. ..................... 282,155 800 Aztar Corp.*................ 14,168 20,000 Blockbuster, Inc., Class A......................... 420,000 17,100 Bob Evans Farms, Inc. ...... 456,741 40,900 CBRL Group, Inc. ........... 1,451,132 1,200 Checkers Drive-In Restaurants, Inc.*........ 11,040 5,400 Dave & Buster's, Inc.*...... 55,620 5,900 Frisch's Restaurants, Inc. ..................... 143,252 1,900 Garden Fresh Restaurant Corp.*.................... 30,229 7,400 Landry's Restaurants, Inc. ..................... 152,440 4,070 Lone Star Steakhouse & Saloon, Inc. ............. 85,063 9,900 Marcus Corp. ............... 151,074
See accompanying notes to the financial statements. 78 AXA ROSENBERG VALUE LONG/SHORT EQUITY FUND (A) SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- SEPTEMBER 30, 2003 (UNAUDITED) --------------------------------------------------------------------------------
SHARES VALUE ---------- ------------ COMMON STOCKS (CONTINUED) TRAVEL & ENTERTAINMENT (CONTINUED) 900 Max & Erma's Restaurants, Inc.*..................... $ 15,507 10,300 Movie Gallery, Inc.*........ 202,395 8,100 Outback Steakhouse, Inc. ... 306,747 1,800 Ryan's Family Steak Houses, Inc.*..................... 23,022 300 Sonesta International Hotels Corp., Class A............ 1,437 1,800 Vail Resorts, Inc.*......... 25,740 22,900 WestCoast Hospitality Corp.*.................... 105,340 ------------ 3,933,102 ------------ WHOLESALE -- 1.8% 1,600 AMCON Distributing Co. ..... 7,360 200 D & K Healthcare Resources, Inc. ..................... 2,812 7,900 Department 56, Inc.*........ 100,330 3,000 Enesco Group, Inc.*......... 24,000 1,900 Handleman Co. .............. 32,072 9,191 Keystone Automotive Industries, Inc.*......... 199,445 800 Moore Medical Corp.*........ 4,608 700 Noland Co. ................. 23,905 38,900 Omnicare, Inc. ............. 1,402,734 6,500 Stewart & Stevenson Services, Inc. ........... 97,630 2,500 Watsco, Inc., Class B....... 47,500 ------------ 1,942,396 ------------ TOTAL COMMON STOCKS......... 99,960,115 ------------ CORPORATE BONDS -- 0.0% WHOLESALE -- 0.0% 872 Timco Avaiation Services, Inc., 8.00%, 1/2/07, (b)....................... 0 ------------ TOTAL CORPORATE BONDS....... 0 ------------
SHARES OR PRINCIPAL VALUE ---------- ------------ WARRANTS -- 0.0% WHOLESALE -- 0.0% 905 Timco Aviation Services, Inc. ..................... $ 0 ------------ TOTAL WARRANTS.............. 0 ------------ REPURCHASE AGREEMENTS --8.1% $8,919,687 Bear Stearns dated 9/30/03, due 10/1/03 at 0.96% with a maturity value of $8,919,925 (Fully collateralized by U.S. Treasury Bonds)........... 8,919,687 ------------ TOTAL REPURCHASE AGREEMENTS................ 8,919,687 ------------ TOTAL INVESTMENTS (COST $83,979,894) (C) -- 100.3%............. 108,879,802 LIABILITIES IN EXCESS OF OTHER ASSETS -- (0.3%).... (287,639) ------------ NET ASSETS -- 100.0%........ $108,592,163 ============
--------------- * Non-income producing security. (a) All long positions are pledged as collateral for securities sold short. (b) Bankrupt security/delisted; fair valued by management. (c) Represents cost for financial reporting purposes, is substantially the same as federal income tax purposes, and differs from value by net unrealized appreciation of securities as follows: Unrealized appreciation............... $25,867,892 Unrealized depreciation............... (967,984) ----------- Net unrealized appreciation........... $24,899,908 ===========
See accompanying notes to the financial statements. 79 AXA ROSENBERG VALUE LONG/SHORT EQUITY FUND SCHEDULE OF SECURITIES SOLD SHORT -- SEPTEMBER 30, 2003 (UNAUDITED) --------------------------------------------------------------------------------
SHARES VALUE ------- ----------- COMMON STOCKS -- 90.8% AUTOS -- 0.4% 6,200 Aftermarket Technology Corp.*... $ 70,742 17,700 ArvinMeritor, Inc. ............. 315,237 3,800 IMPCO Technologies, Inc.*....... 27,246 ----------- 413,225 ----------- BANKS -- 4.6% 10,000 AmeriCredit Corp.*.............. 103,000 5,700 Banco Latinoamericano de Exportaciones SA*............. 68,400 26,500 Investors Financial Services Corp. ........................ 832,100 18,100 Leucadia National Corp. ........ 685,085 35,300 North Fork Bancorporation, Inc. ......................... 1,226,675 25,700 Old National Bancorp............ 574,395 900 Santander BanCorp............... 16,893 14,000 Southwest Bancorp of Texas, Inc. ......................... 511,140 20,200 Sterling Bancshares, Inc. ...... 240,986 2,800 The Banc Corp. ................. 21,028 25,900 Valley National Bancorp......... 721,056 ----------- 5,000,758 ----------- BIOTECHNOLOGY -- 1.6% 19,800 Alexion Pharmaceuticals, Inc.*......................... 326,106 27,200 Avigen, Inc.*................... 141,440 17,200 Cell Genesys, Inc.*............. 216,376 57,700 Human Genome Sciences, Inc.*.... 788,182 16,300 Myriad Genetics, Inc.*.......... 185,168 1,800 Onyx Pharmaceuticals, Inc.*..... 38,790 ----------- 1,696,062 ----------- BUILDING -- 0.0% 200 WCI Communities, Inc.*.......... 3,300 ----------- CHEMICALS -- 2.7% 2,200 Alcide Corp.*................... 29,700 9,100 BioSphere Medical, Inc.*........ 28,665 51,000 Goodyear Tire & Rubber Co. ..... 335,070 66,100 IMC Global, Inc. ............... 423,701 27,000 International Flavors & Fragrances, Inc. ............. 893,160 54,400 Lyondell Chemical Co. .......... 695,232 7,060 North American Scientific, Inc.*......................... 75,189 16,700 OM Group, Inc.*................. 244,488 15,300 Valhi, Inc. .................... 172,278 ----------- 2,897,483 ----------- CONSTRUCTION MATERIALS -- 0.6% 800 Devcon International Corp.*..... 5,592 7,600 Nanophase Technologies Corp.*... 49,020 51,400 Owens-Illinois, Inc.*........... 586,988 ----------- 641,600 ----------- DEFENSE -- 1.0% 15,100 Alliant Techsystems, Inc.*...... 725,555 1,500 EDO Corp. ...................... 30,375 21,900 Innovative Solutions & Support, Inc.*......................... 176,952 6,300 Microvision, Inc.*.............. 50,085 8,900 Sturm, Ruger & Co., Inc. ....... 91,848 2,200 United Industrial Corp. ........ 34,980 ----------- 1,109,795 -----------
SHARES VALUE ------- ----------- COMMON STOCKS (CONTINUED) DRUGS -- 6.8% 23,400 Adolor Corp.*................... $ 429,390 34,900 Alkermes, Inc.*................. 478,828 9,900 AtheroGenics, Inc.*............. 165,726 7,800 Bone Care International, Inc.*......................... 99,216 15,400 Cephalon, Inc.*................. 707,168 10,400 Cerus Corp.*.................... 48,152 5,800 Cubist Pharmaceuticals, Inc.*... 62,582 37,100 CV Therapeutics, Inc.*.......... 816,201 8,300 Emisphere Technologies, Inc.*... 60,258 36 Enzo Biochem, Inc.*............. 702 3,200 Epix Medical, Inc.*............. 54,464 400 Guilford Pharmaceuticals, Inc.*......................... 2,476 700 Immunomedics, Inc.*............. 5,124 16,700 Inspire Pharmaceuticals, Inc.*......................... 287,240 68,000 Isis Pharmaceuticals, Inc.*..... 443,360 9,100 Neose Technologies, Inc.*....... 85,085 1,800 Neurogen Corp.*................. 10,530 38,100 NPS Pharmaceuticals, Inc.*...... 1,061,086 9,000 Pain Therapeutics, Inc.*........ 55,350 13,735 Penwest Pharmaceuticals Co.*.... 292,830 2,200 Protein Design Labs, Inc.*...... 30,492 11,800 Salix Pharmaceuticals, Ltd.*.... 227,268 22,000 Sepracor, Inc.*................. 605,880 5 Tanox, Inc.*.................... 100 21,800 Transkaryotic Therapies, Inc.*......................... 227,810 57,500 Tularik, Inc.*.................. 566,950 8,500 United Therapeutics Corp.*...... 192,015 40,100 Vertex Pharmaceuticals, Inc.*... 493,230 1,400 Zymogenetics, Inc.*............. 20,510 ----------- 7,530,023 ----------- DURABLES -- 0.7% 28,100 Maytag Corp. ................... 701,657 1,700 Monaco Coach Corp.*............. 28,135 9,000 National R.V. Holdings, Inc.*... 78,300 ----------- 808,092 ----------- ELECTRIC UTILITIES -- 4.3% 20,100 Black Hills Corp. .............. 620,286 10,000 CenterPoint Energy, Inc. ....... 91,700 17,800 Cleco Corp. .................... 290,852 31,900 CMS Energy Corp. ............... 235,103 49,100 DPL, Inc. ...................... 842,065 4,700 DTE Energy Co. ................. 173,383 45,400 TECO Energy, Inc. .............. 627,428 55,100 TXU Corp. ...................... 1,298,156 12,300 WPS Resources Corp. ............ 506,760 ----------- 4,685,733 ----------- FINANCIAL INVESTMENTS -- 1.9% 55,700 Macrovision Corp.*.............. 1,028,779 58,500 Rambus, Inc.*................... 981,630 500 Royal Gold, Inc. ............... 9,150 ----------- 2,019,559 ----------- FOOD -- 1.5% 103 Alico, Inc. .................... 2,885 1,600 Bridgford Foods Corp. .......... 12,320 1,400 Cagle's, Inc.*.................. 11,970 400 Hormel Foods Corp. ............. 9,192
See accompanying notes to the financial statements. 80 AXA ROSENBERG VALUE LONG/SHORT EQUITY FUND SCHEDULE OF SECURITIES SOLD SHORT (CONTINUED) -- SEPTEMBER 30, 2003 (UNAUDITED) --------------------------------------------------------------------------------
SHARES VALUE ------- ----------- COMMON STOCKS (CONTINUED) FOOD (CONTINUED) 19,200 Monterey Pasta Co.*............. $ 71,040 47,792 Tootsie Roll Industries, Inc. ......................... 1,481,552 ----------- 1,588,959 ----------- HEALTH -- 4.1% 26,200 Array Biopharma, Inc.*.......... 143,602 2,500 Bio-Reference Labs, Inc.*....... 25,700 450 Centene Corp.*.................. 13,676 35,700 Community Health Systems, Inc.*......................... 774,690 8,000 First Health Group Corp.*....... 209,200 4,032 Medcath Corp.*.................. 41,691 9,000 MIM Corp.*...................... 67,500 5,200 Pediatric Services of America, Inc.*......................... 43,836 40,000 Province Healthcare Co.*........ 518,000 5,100 Specialty Laboratories, Inc.*... 66,555 40,000 Tenet Healthcare Corp.*......... 579,200 35,700 Triad Hospitals, Inc.*.......... 1,080,996 6,200 U.S. Physical Therapy, Inc.*.... 75,832 27,000 United Surgical Partners, Inc.*......................... 764,100 ----------- 4,404,578 ----------- HOUSEHOLD -- 2.1% 2,700 AEP Industries, Inc.*........... 23,868 16,200 Herman Miller, Inc. ............ 368,874 23,700 Leapfrog Enterprises, Inc.*..... 900,600 31,800 Pactiv Corp.*................... 644,904 400 Research Frontiers, Inc.*....... 4,588 29,000 Tupperware Corp. ............... 388,020 ----------- 2,330,854 ----------- INSTRUMENTS -- 5.2% 1,600 Aksys, Ltd.*.................... 15,984 11,400 American Medical Systems Holdings, Inc.*............... 247,380 67,800 Applera Corp. .................. 1,512,618 8,000 Aspect Medical Systems, Inc.*... 82,160 4,100 Catapult Communications Corp.*........................ 51,578 12,348 Cepheid, Inc.*.................. 57,665 8,200 Cholestech Corp.*............... 62,320 16,100 Ciphergen Biosystems, Inc.*..... 198,835 22,700 Conceptus, Inc.*................ 297,370 4,800 CyberOptics, Inc.*.............. 44,880 25,700 Cytyc Corp.*.................... 386,528 300 Daxor Corp.*.................... 4,368 12,400 Embrex, Inc.*................... 123,008 6,600 Endocardial Solutions, Inc.*.... 33,000 8,000 ICU Medical, Inc.*.............. 217,680 7,100 Illumina, Inc.*................. 37,985 19,400 Ixia*........................... 209,889 2,900 Keithley Instruments, Inc. ..... 41,035 29,900 Mettler-Toledo International, Inc.*......................... 1,074,905 17,700 Orasure Technologies, Inc.*..... 168,150 6,956 OrthoLogic, Corp.*.............. 37,423 12,000 PharmaNetics, Inc.*............. 59,400 1,800 Possis Medical, Inc.*........... 28,080 9,700 Q-Med, Inc.*.................... 60,043 13,400 ResMed, Inc.*................... 589,332
SHARES VALUE ------- ----------- COMMON STOCKS (CONTINUED) INSTRUMENTS (CONTINUED) 2,300 Therasense, Inc.*............... $ 28,727 92 Tollgrade Communications, Inc.*......................... 1,478 ----------- 5,671,821 ----------- INSURANCE -- 2.3% 29,200 Allmerica Financial Corp.*...... 695,252 17,100 Arthur J. Gallagher & Co. ...... 483,588 13,300 Brown & Brown, Inc. ............ 409,374 1,500 Citizens, Inc.*................. 12,075 2,400 Unico American Corp.*........... 11,114 27,900 Willis Group Holdings, Ltd. .... 857,925 ----------- 2,469,328 ----------- IT HARDWARE -- 2.9% 15,000 Advanced Energy Industries, Inc.*......................... 283,050 39 Anaren, Inc.*................... 498 8,000 Axcelis Technologies, Inc.*..... 66,080 1,100 California Micro Devices Corp.*........................ 8,030 1,800 EMS Technologies, Inc.*......... 30,564 13,600 Energy Conversion Devices, Inc.*......................... 142,936 141 Exar Corp.*..................... 1,992 23,600 Helix Technology Corp. ......... 386,332 11,696 Micrel, Inc.*................... 142,574 1,200 Microchip Technology, Inc. ..... 28,728 7,100 Molex, Inc. .................... 202,989 16,200 Monolithic System Technology, Inc.*......................... 136,242 900 Parlex Corp.*................... 7,084 17,800 Pericom Semiconductor Corp.*.... 178,000 19,000 Plexus Corp.*................... 295,260 18,900 RF Micro Devices, Inc.*......... 175,581 50,100 Semtech Corp.*.................. 924,846 18,700 Silicon Image, Inc.*............ 84,337 1,500 Synaptics, Inc.*................ 16,140 6,260 Virage Logic Corp.*............. 47,576 ----------- 3,158,839 ----------- LIQUOR & TOBACCO -- 0.9% 20,600 R.J. Reynolds Tobacco Holdings, Inc. ......................... 814,524 8,820 Vector Group, Ltd. ............. 127,008 ----------- 941,532 ----------- MACHINERY -- 3.5% 4,000 3D Systems Corp.*............... 34,840 10,100 A.S.V., Inc.*................... 192,809 4,100 Aaon, Inc.*..................... 67,322 500 Astec Industries, Inc.*......... 5,150 8,300 Black & Decker Corp. ........... 336,565 290 CUNO, Inc.*..................... 11,365 27,000 FuelCell Energy, Inc.*.......... 315,900 4,100 GrafTech International, Ltd.*... 32,800 100 Graham Corp. ................... 952 5,100 Intevac, Inc.*.................. 51,918 14,700 ITT Industries, Inc. ........... 879,648 3,000 Lindsay Manufacturing Co. ...... 60,300 2,000 Material Sciences Corp. ........ 20,440 1,400 Maxwell Technologies, Inc.*..... 12,782 6,400 Parker-Hannifin Corp. .......... 286,080 800 Quipp, Inc.*.................... 9,824 11,200 Shaw Group, Inc.*............... 117,712 6,800 Silgan Holdings, Inc.*.......... 217,600
See accompanying notes to the financial statements. 81 AXA ROSENBERG VALUE LONG/SHORT EQUITY FUND SCHEDULE OF SECURITIES SOLD SHORT (CONTINUED) -- SEPTEMBER 30, 2003 (UNAUDITED) --------------------------------------------------------------------------------
SHARES VALUE ------- ----------- COMMON STOCKS (CONTINUED) MACHINERY (CONTINUED) 37,000 The Stanley Works............... $ 1,092,240 5,800 TransTechnology Corp.*.......... 51,330 ----------- 3,797,577 ----------- MEDIA -- 4.8% 3,200 Beasley Broadcast Group, Inc., Class A*...................... 44,224 67,400 Catalina Marketing Corp.*....... 1,023,806 11,800 Dow Jones & Co., Inc. .......... 558,730 1,100 Fisher Communications, Inc.*.... 51,865 19,200 Journal Register Corp.*......... 360,000 24,500 Lamar Advertising Corp.*........ 718,830 5,700 McClatchy Co., Class A.......... 339,036 5,400 Pixar, Inc.*.................... 359,424 9,700 R. H. Donnelley Corp.*.......... 391,977 48,400 Reader's Digest Association, Inc., Class A................. 677,116 3,100 Salem Communications Corp., Class A*...................... 60,109 21,800 Valassis Communications, Inc.*......................... 575,520 ----------- 5,160,637 ----------- METALS -- 0.9% 3,000 Allegheny Technologies, Inc. ... 19,650 10,300 American Superconductor Corp.*........................ 106,399 18,400 Apex Silver Mines, Ltd*......... 246,560 6,200 Castle and Co.*................. 27,528 8,100 Century Aluminum Co.*........... 87,885 26,100 Lone Star Technologies, Inc.*... 352,089 6,100 NS Group, Inc.*................. 39,406 2,600 Nucor Corp. .................... 119,288 3,600 Universal Stainless & Alloy Products, Inc.*............... 28,980 ----------- 1,027,785 ----------- MISCELLANEOUS FINANCIAL -- 1.4% 4,400 BlackRock, Inc. ................ 215,600 30,400 Investment Technology Group, Inc.*......................... 583,072 32,600 W.P. Stewart & Co., Ltd. ....... 681,340 ----------- 1,480,012 ----------- OFFICE MACHINERY -- 1.2% 82,200 Brocade Communications Systems, Inc.*......................... 429,084 5,400 Drexler Technology Corp.*....... 75,708 9,900 Echelon Corp.*.................. 117,810 7,700 Fargo Electronics, Inc.*........ 97,020 3,000 General Binding Corp.*.......... 31,200 8,500 Immersion Corp.*................ 52,955 26,700 InFocus Corp.*.................. 129,762 14,500 McDATA Corp., Class B*.......... 170,955 6,450 Qualstar Corp.*................. 35,153 9,800 Radware, Ltd.*.................. 177,870 ----------- 1,317,517 ----------- OIL -- 0.2% 11,900 Plains Resources, Inc.*......... 148,155 4,700 Quicksilver Resources, Inc.*.... 114,821 ----------- 262,976 -----------
SHARES VALUE ------- ----------- COMMON STOCKS (CONTINUED) OIL DISTRIBUTION -- 1.4% 107,500 El Paso Corp. .................. $ 784,750 13,200 Frontier Oil Corp. ............. 194,040 15,900 Questar Corp. .................. 489,879 ----------- 1,468,669 ----------- OIL SERVICES -- 0.2% 9,800 Rowan Companies, Inc.*.......... 240,884 ----------- OTHER UTILITIES -- 0.1% 2,600 Nicor, Inc. .................... 91,364 ----------- PAPER -- 1.6% 10,200 Bowater, Inc. .................. 429,012 19,200 Caraustar Industries, Inc.*..... 167,616 39,400 Plum Creek Timber Co. .......... 1,002,336 8,100 Pope & Talbot, Inc. ............ 122,472 ----------- 1,721,436 ----------- REAL ESTATE DEVELOPMENT -- 1.1% 11,400 Florida East Coast Industries, Inc. ......................... 327,750 4,200 Forest City Enterprises, Inc., Class A....................... 183,750 1,000 Griffin Land & Nurseries, Inc.*......................... 13,460 14,600 St. Joe Co. .................... 468,368 4,700 Tejon Ranch Co.*................ 156,510 ----------- 1,149,838 ----------- REAL ESTATE INVESTMENT TRUSTS -- 4.4% 1,400 Alexander's, Inc.*.............. 147,700 17,800 Camden Property Trust........... 684,054 10,300 CenterPoint Properties Trust.... 701,533 16,300 Chateau Communities, Inc. ...... 485,088 16,300 Equity Inns, Inc. .............. 122,739 12,800 Glimcher Realty Trust........... 269,696 22,000 Health Care Property Investors, Inc. ......................... 1,027,400 21,400 Post Properties, Inc. .......... 582,722 4,300 Sun Communities, Inc. .......... 169,420 1,300 Tanger Factory Outlet Centers, Inc. ......................... 47,775 30,900 United Dominion Realty Trust, Inc. ......................... 565,779 ----------- 4,803,906 ----------- RETAIL -- 5.5% 23,500 American Eagle Outfitters, Inc.*......................... 349,210 5,300 BJ's Wholesale Club, Inc.*...... 102,661 8,500 CDW Corp. ...................... 490,790 6,500 Charlotte Russe Holding, Inc.*......................... 66,885 12,000 Circuit City Stores, Inc. ...... 114,360 900 Cole National Corp.*............ 11,214 126,000 Copart, Inc.*................... 1,360,799 1,800 Dick's Sporting Goods, Inc.*.... 67,212 43,000 Dillard's, Inc., Class A........ 601,140 20,000 Fastenal Co. ................... 756,000 4,700 Gadzooks, Inc.*................. 23,049 9,200 Genesco, Inc.*.................. 147,752 6,577 Ingles Markets, Inc., Class A... 64,455 12,100 Pathmark Stores, Inc.*.......... 84,337 200 Pier 1 Imports, Inc. ........... 3,848 5,600 Pricesmart, Inc.*............... 36,400 20,000 Restoration Hardware, Inc.*..... 116,200 9,300 Rite Aid Corp.*................. 47,988 3,000 Shoe Carnival, Inc.*............ 42,900 1,000 Too, Inc.*...................... 14,730
See accompanying notes to the financial statements. 82 AXA ROSENBERG VALUE LONG/SHORT EQUITY FUND SCHEDULE OF SECURITIES SOLD SHORT (CONTINUED) -- SEPTEMBER 30, 2003 (UNAUDITED) --------------------------------------------------------------------------------
SHARES VALUE ------- ----------- COMMON STOCKS (CONTINUED) RETAIL (CONTINUED) 15,100 Wet Seal, Inc.*................. $ 151,755 15,666 Whole Foods Market, Inc.*....... 864,450 17,500 Wilsons The Leather Experts, Inc.*......................... 139,825 32,300 Winn-Dixie Stores, Inc. ........ 311,695 ----------- 5,969,655 ----------- SERVICES -- 6.0% 31,600 Albany Molecular Research, Inc.*......................... 467,996 2,800 Ambassadors International, Inc. ......................... 34,300 15,700 Amn Healthcare Services, Inc.*......................... 254,968 11,400 Applied Molecular Evolution, Inc.*......................... 97,584 5,338 Arena Pharmaceuticals, Inc.*.... 38,434 28,200 Charles River Laboratories, Inc.*......................... 865,458 38 CheckFree Corp.*................ 760 3,500 ChoicePoint, Inc.*.............. 117,250 11,000 Coinstar, Inc.*................. 147,950 51,900 DeVry, Inc.*.................... 1,227,953 7,900 Exact Sciences Corp.*........... 106,650 31,500 Exelixis, Inc.*................. 224,910 16,300 Learning Tree International, Inc.*......................... 273,351 24,700 Maxygen, Inc.*.................. 251,940 5,200 NetRatings, Inc.*............... 48,532 1,600 Princeton Review, Inc.*......... 10,288 25,500 Regeneron Pharmaceutical, Inc.*......................... 450,585 2,800 RemedyTemp, Inc., Class A*...... 35,476 49,900 Robert Half International, Inc.*......................... 973,050 77,200 Sotheby's Holdings, Inc., Class A*............................ 835,304 24 Symyx Technologies, Inc.*....... 517 70 The Keith Companies, Inc.*...... 863 3,200 TRC Cos., Inc.*................. 52,672 900 Weight Watchers International, Inc.*......................... 37,440 ----------- 6,554,231 ----------- SOAPS & COSMETICS -- 0.3% 7,600 Chattem, Inc.*.................. 105,488 3,900 Church & Dwight Co., Inc. ...... 136,461 21,300 Playtex Products, Inc.*......... 126,948 ----------- 368,897 ----------- SOFTWARE -- 6.2% 19,900 Acxiom Corp.*................... 313,624 7,500 Anteon International Corp.*..... 229,500 21,200 BARRA, Inc.*.................... 796,060 2,100 Computer Programs and Systems, Inc. ......................... 37,863 3,510 Dynamics Research Co.*.......... 67,041 1,200 Embarcadero Technologies, Inc.*......................... 12,048 115,725 Identix, Inc.*.................. 605,242 2,287 Integral Systems, Inc.*......... 41,326 77,300 Jack Henry & Associates, Inc. ......................... 1,344,247 6,600 ManTech International Corp.*.... 164,208 29,800 Mercury Computer Systems, Inc.*......................... 635,634 27,800 Mercury Interactive Corp.*...... 1,262,398 20,500 Nassda Corp.*................... 161,335 2,600 Netiq Corp.*.................... 31,044
SHARES VALUE ------- ----------- COMMON STOCKS (CONTINUED) SOFTWARE (CONTINUED) 4,600 OPNET Technologies, Inc.*....... $ 57,408 8,300 Renaissance Learning, Inc.*..... 195,880 10,000 Synplicity, Inc.*............... 59,000 24,200 THQ, Inc.*...................... 397,364 90 Tripos, Inc.*................... 762 28,200 TriZetto Group, Inc.*........... 188,940 15,000 VitalWorks, Inc.*............... 78,750 ----------- 6,679,674 ----------- TELEPHONE -- 0.8% 33,633 Cablevision Systems Group*...... 608,757 271 Hickory Tech Corp. ............. 3,103 3,500 Level 3 Communications, Inc.*... 18,970 7,900 LodgeNet Entertainment Corp.*... 122,450 10,500 Net2Phone, Inc.*................ 66,255 ----------- 819,535 ----------- TEXTILES -- 1.4% 31,900 Cintas Corp. ................... 1,175,196 5,000 Guess?, Inc.*................... 44,500 6,000 Mossimo, Inc.*.................. 37,140 5,000 OshKosh B'Gosh, Inc., Class A... 128,600 1,200 Perry Ellis International, Inc.*......................... 34,260 11,200 Skechers U.S.A., Inc.*.......... 83,104 2,509 Tropical Sportswear International Corp.*.......... 11,416 ----------- 1,514,216 ----------- TRANSPORTATION -- 0.4% 39,900 Kansas City Southern*........... 441,693 ----------- TRAVEL & ENTERTAINMENT -- 4.2% 7,700 Ameristar Casinos, Inc.*........ 192,808 3,900 Champps Entertainment, Inc.*.... 25,818 23,700 CKE Restaurants, Inc.*.......... 152,865 6,200 Extended Stay America, Inc.*.... 92,566 23,000 Hilton Hotels Corp. ............ 373,060 27,500 Krispy Kreme Doughnuts, Inc.*... 1,058,750 32,800 MGM Mirage*..................... 1,198,840 4,900 MTR Gaming Group, Inc.*......... 42,483 16,300 Penn National Gaming, Inc.*..... 347,516 30,000 The Cheesecake Factory, Inc.*... 1,085,100 ----------- 4,569,806 ----------- WHOLESALE -- 1.6% 16,500 AAR Corp.*...................... 132,330 2,200 AG Services of America, Inc.*... 13,002 41,000 Arrow Electronics, Inc.*........ 753,990 11,600 NuCo2, Inc.*.................... 127,832 13,000 Patterson Dental Co.*........... 748,540 ----------- 1,775,694 ----------- TOTAL SECURITIES SOLD SHORT (PROCEEDS $96,406,174) 90.8%......................... $98,587,543 ===========
--------------- * Non-income producing security. See accompanying notes to the financial statements. 83 AXA ROSENBERG GLOBAL LONG/SHORT EQUITY FUND (A) SCHEDULE OF PORTFOLIO INVESTMENTS -- SEPTEMBER 30, 2003 (UNAUDITED) --------------------------------------------------------------------------------
SHARES VALUE ---------- ----------- COMMON STOCKS -- 90.7% AIRLINES -- 0.3% 2,100 AirTran Holdings, Inc.*...... $ 35,175 600 America West Holdings Corp., Class B*................... 5,838 400 MAIR Holdings, Inc.*......... 2,716 1,300 Mesa Air Group, Inc.*........ 14,430 ----------- 58,159 ----------- AUTOS -- 0.7% 200 R&B, Inc.*................... 2,576 3,800 Textron, Inc. ............... 149,910 ----------- 152,486 ----------- BANKS -- 5.9% 1,300 Advanta Corp., Class A....... 14,300 4,300 Bank of America Corp. ....... 335,571 3,200 Bank One Corp. .............. 123,680 1,400 Banknorth Group, Inc. ....... 39,508 300 Capital Bank Corp. .......... 4,710 2,400 Capital One Financial Corp. ..................... 136,895 300 Colonial BancGroup, Inc. .... 4,332 400 Columbia Banking System, Inc. ...................... 7,032 300 Community West Bancshares*... 2,100 700 CompuCredit Corp.*........... 12,250 400 Doral Financial Corp. ....... 18,800 200 Encore Capital Group, Inc.*...................... 2,340 100 First Citizens BancShares, Inc., Class A.............. 10,570 300 First Marine Bancorp*........ 5,245 1,800 FleetBoston Financial Corp. ..................... 54,270 200 FMS Financial Corp. ......... 3,350 210 Gateway Financial Holdings, Inc.*...................... 2,300 200 GreenPoint Financial Corp. ..................... 5,972 100 Habersham Bancorp............ 2,051 2,300 Hibernia Corp., Class A...... 46,598 200 Horizon Bancorp.............. 7,150 200 HPSC, Inc.*.................. 1,800 158 IBERIABANK Corp. ............ 8,314 400 InterCept, Inc.*............. 5,468 200 Intervest Bancshares Corp.*..................... 2,590 800 Irwin Financial Corp. ....... 19,440 1,000 Local Financial Corp.*....... 17,890 500 Marshall & Ilsley Corp. ..... 15,760 1,350 New Century Financial Corp. ..................... 38,232 3,466 New York Community Bancorp, Inc........................ 109,214 200 Pacific Mercantile Bancorp*................... 1,940 420 PFF Bancorp, Inc. ........... 13,390 1,500 PNC Financial Services Group...................... 71,370 200 PSB Bancorp, Inc.*........... 1,660 600 R&G Finanical Corp., Class B.......................... 17,520 200 Republic Bancshares, Inc. ... 5,712 400 Republic First Bancorp, Inc.*...................... 4,720 600 Riggs National Corp. ........ 9,450 400 Saxon Capital, Inc.*......... 6,856 200 Timberland Bancorp, Inc. .... 4,780 400 UICI*........................ 5,016 315 Unity Bancorp, Inc.*......... 3,528 2,200 Wachovia Corp. .............. 90,618 400 WFS Financial, Inc.*......... 14,812 ----------- 1,309,104 -----------
SHARES VALUE ---------- ----------- COMMON STOCKS (CONTINUED) BIOTECHNOLOGY -- 3.4% 4,400 Amgen, Inc.*................. $ 284,108 1,000 Celgene Corp.*............... 43,330 900 Curis, Inc.*................. 3,978 2,200 Genentech, Inc.*............. 176,308 1,900 Genzyme Corp.*............... 87,875 1,400 Gilead Sciences, Inc.*....... 78,302 1,100 Invitrogen Corp.*............ 63,789 1,500 Nabi Biopharmaceuticals*..... 12,645 1,700 Savient Pharmaceuticals, Inc.*...................... 8,585 500 Third Wave Technologies*..... 1,615 ----------- 760,535 ----------- BUILDING -- 2.7% 400 Beazer Homes USA, Inc.*...... 33,760 1,000 Centex Corp. ................ 77,880 1,700 Champion Enterprises, Inc.*...................... 10,795 1,500 D. R. Horton, Inc. .......... 49,050 200 Dominion Homes, Inc.*........ 5,146 600 Hovnanian Enterprises, Inc., Class A*................... 38,622 1,700 Lennar Corp., A Shares....... 132,243 120 Lennar Corp., B Shares....... 8,998 800 M.D.C. Holdings, Inc. ....... 43,200 300 Matrix Service Co.*.......... 5,328 1,800 Pulte Homes, Inc. ........... 122,418 1,000 Ryland Group, Inc. .......... 73,110 ----------- 600,550 ----------- CELLULAR -- 1.3% 14,800 Nextel Communications, Inc., Class A*................... 291,412 ----------- CHEMICALS -- 0.8% 300 Bairnco Corp. ............... 2,091 2,200 Cytec Industries, Inc.*...... 80,300 500 Esterline Technologies Corp.*..................... 9,645 200 Great Lakes Chemical Corp. ..................... 4,022 2,400 Hercules, Inc.*.............. 27,192 1,900 Sherwin-Williams Co. ........ 55,879 300 Stepan Co. .................. 6,834 300 TOR Minerals International, Inc.*...................... 1,665 ----------- 187,628 ----------- COMPUTER -- 1.7% 1,800 Cray, Inc.*.................. 19,764 10,800 Dell, Inc.*.................. 360,612 ----------- 380,376 ----------- CONSTRUCTION MATERIALS --0.1% 800 Ameron International Corp.... 26,408 ----------- DEFENSE -- 0.2% 100 Allied Defense Group, Inc.*...................... 2,111 1,100 Griffon Corp.*............... 19,756 600 KVH Industries, Inc.*........ 15,126 ----------- 36,993 ----------- DRUGS -- 5.4% 300 Advanced Magnetics, Inc.*.... 2,745 1,000 Allergan, Inc. .............. 78,730 1,100 Alpharma, Inc., Class A...... 20,460 900 Barr Laboratories, Inc.*..... 61,389 300 Bradley Pharmaceuticals, Inc.*...................... 8,175
See accompanying notes to the financial statements. 84 AXA ROSENBERG GLOBAL LONG/SHORT EQUITY FUND (A) SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- SEPTEMBER 30, 2003 (UNAUDITED) --------------------------------------------------------------------------------
SHARES VALUE ---------- ----------- COMMON STOCKS (CONTINUED) DRUGS (CONTINUED) 800 Caraco Pharmaceutical Laboratories, Ltd.*........ $ 7,720 1,100 Connetics Corp.*............. 19,866 400 Cortex Pharmaceuticals, Inc.*...................... 1,356 3,000 Endo Pharmaceuticals Holdings, Inc.*............ 61,350 400 Genencor International, Inc.*...................... 6,276 300 Hi-Tech Pharmacal Co., Inc.*...................... 7,041 4,000 ICN Pharmaceuticals, Inc. ... 68,640 2,600 IVAX Corp.*.................. 50,960 1,100 Medicines Co.*............... 28,600 600 Medicis Pharmaceutical Corp. ..................... 35,160 5,200 Merck & Co., Inc. ........... 263,224 1,600 Meridian Bioscience, Inc. ... 16,032 6,100 Mylan Laboratories, Inc. .... 235,765 700 Natures Sunshine Products, Inc. ...................... 5,810 700 Nutraceutical International Corp.*..................... 7,259 2,200 Perrigo Co. ................. 28,006 800 Pharmaceutical Resources, Inc.*...................... 54,576 1,300 SciClone Pharmaceuticals, Inc.*...................... 10,270 400 Seracare Life Sciences, Inc.*...................... 2,740 200 Spectrum Pharmaceuticals, Inc.*...................... 1,320 2,900 Watson Pharmaceuticals, Inc.*...................... 120,901 ----------- 1,204,371 ----------- DURABLES -- 0.3% 600 Arctic Cat, Inc. ............ 11,598 200 Harman International Industries, Inc............ 19,670 600 Thor Industries, Inc. ....... 32,412 ----------- 63,680 ----------- ELECTRIC UTILITIES -- 1.8% 500 Central Vermont Public Service Corp............... 11,090 2,400 Constellation Energy Group, Inc. ...................... 85,872 8,400 Duke Energy Corp. ........... 149,604 2,000 Great Plains Energy, Inc. ... 60,640 100 Green Mountain Power Corp. ..................... 2,255 2,200 SCANA Corp. ................. 75,350 600 Unisource Energy Corp. ...... 11,412 ----------- 396,223 ----------- FINANCIAL INVESTMENTS -- 0.4% 200 California First National Bancorp.................... 2,308 200 Image Sensing Systems, Inc.*...................... 1,468 600 LNR Property Corp. .......... 24,570 400 PICO Holdings, Inc.*......... 5,228 179 Rainbow Rentals, Inc.*....... 1,144 1,750 Rent-A-Center, Inc.*......... 56,525 400 Willis Lease Finance Corp.*..................... 2,196 ----------- 93,439 ----------- FOOD -- 1.5% 300 Cal-Maine Foods, Inc. ....... 2,250 2,800 Campbell Soup Co. ........... 74,200 1,000 Chiquita Brands International, Inc.*....... 17,700 450 Flowers Foods, Inc. ......... 10,260 200 Lifeway Foods, Inc.*......... 2,750 200 Margo Caribe, Inc.*.......... 1,472
SHARES VALUE ---------- ----------- COMMON STOCKS (CONTINUED) FOOD (CONTINUED) 3,700 PepsiCo, Inc. ............... $ 169,571 200 Seaboard Corp. .............. 43,020 300 Seneca Foods Corp., Class B*......................... 5,700 ----------- 326,923 ----------- HEALTH -- 2.6% 1,600 Aetna, Inc. ................. 97,648 500 Anthem, Inc.*................ 35,665 3,400 Beverly Enterprises, Inc.*... 20,128 2,800 Coventry Health Care, Inc.*...................... 147,672 2,800 Health Net, Inc.*............ 88,676 5,000 Humana, Inc.*................ 90,250 627 Medco Health Solutions, Inc.*...................... 16,258 1,400 Mid Atlantic Medical Services, Inc.*............ 72,002 200 National Dentex Corp.*....... 4,314 300 National Home Health Care Corp.*..................... 2,460 ----------- 575,073 ----------- HOUSEHOLD -- 1.3% 2,100 Acuity Brands, Inc. ......... 37,926 200 American Locker Group, Inc.*...................... 2,406 800 Callaway Golf Co. ........... 11,416 300 Chase Corp. ................. 3,765 300 Chromcraft Revington, Inc.*...................... 3,705 300 Communication Systems, Inc. ...................... 2,394 200 Flexsteel Industries, Inc. ...................... 3,643 1,200 Helen of Troy, Ltd.*......... 29,064 200 Hillenbrand Industries, Inc. ...................... 11,284 3,300 International Game Technology................. 92,895 400 Juno Lighting, Inc.*......... 5,600 540 K2, Inc.*.................... 8,019 1,200 Kimball International, Inc., Class B.................... 17,592 300 Knape & Vogt Manufacturing Co. ....................... 3,300 600 Movado Group, Inc. .......... 13,140 900 Select Comfort Corp.*........ 23,850 200 Vulcan International Corp. ..................... 7,740 400 West Pharmaceutical Services, Inc........................ 12,524 ----------- 290,263 ----------- INSTRUMENTS -- 5.4% 1,800 Alaris Medical, Inc.*........ 29,880 200 Atrion Corp. ................ 9,040 2,200 Bausch & Lomb, Inc. ......... 97,130 900 Becton, Dickinson & Co. ..... 32,508 900 Bio-Rad Laboratories, Inc., Class A*................... 45,900 5,800 Boston Scientific Corp.*..... 370,040 200 Candela Corp.*............... 2,552 600 CONMED Corp.*................ 12,384 49 Cyberonics, Inc.*............ 1,512 700 Datascope Corp. ............. 21,518 500 Honeywell International, Inc. ...................... 13,175 900 I-STAT Corp.*................ 12,033 500 INAMED Corp.*................ 36,725 1,200 Invacare Corp. .............. 45,096 450 Invivo Corp.*................ 7,061 300 Isco, Inc. .................. 2,655 1,100 Johnson Controls, Inc. ...... 104,060 200 K-Tron International, Inc.*...................... 3,400 200 Kewaunee Scientific Corp. ... 1,948
See accompanying notes to the financial statements. 85 AXA ROSENBERG GLOBAL LONG/SHORT EQUITY FUND (A) SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- SEPTEMBER 30, 2003 (UNAUDITED) --------------------------------------------------------------------------------
SHARES VALUE ---------- ----------- COMMON STOCKS (CONTINUED) INSTRUMENTS (CONTINUED) 300 Laserscope*.................. $ 3,525 300 Mesa Laboratories, Inc.*..... 2,703 800 Mine Safety Appliances Co. ....................... 43,696 2,600 PerkinElmer, Inc. ........... 39,806 1,300 Respironics, Inc.*........... 54,314 1,000 Sola International, Inc.*.... 16,000 500 Synovis Life Technologies, Inc.*...................... 12,225 4,000 Thermo Electron Corp.*....... 86,800 1,800 Thoratec*.................... 30,582 2,000 Trimble Navigation, Ltd.*.... 46,300 300 Utah Medical Products, Inc.*...................... 7,425 ----------- 1,191,993 ----------- INSURANCE -- 4.2% 1,000 American Financial Group, Inc. ...................... 21,750 500 Amerus Group Co. ............ 17,000 3,500 Aon Corp. ................... 72,975 1,500 CNA Financial Corp.*......... 31,530 700 Everest Re Group Ltd. ....... 52,612 2,750 Fidelity National Financial, Inc. ...................... 82,665 500 FPIC Insurance Group, Inc.*...................... 7,535 200 Great American Financial Resources, Inc. ........... 2,896 1,800 John Hancock Financial Services, Inc.............. 60,840 1,300 Marsh & McLennan Cos., Inc. ...................... 61,893 1,400 Max Re Capital, Ltd. ........ 23,814 200 Merchants Group, Inc. ....... 4,150 3,400 MetLife, Inc. ............... 95,370 300 National Western Life Insurance Co., Class A*.... 41,208 1,000 Odyssey Re Holdings Corp. ... 20,580 2,000 Old Republic International Corp. ..................... 66,180 300 PMA Capital Corp., Class A... 3,759 300 PXRE Group, Ltd. ............ 5,385 2,500 Radian Group, Inc. .......... 111,000 1,000 RenaissanceRe Holdings, Ltd. ...................... 45,630 1,000 Safeco Corp. ................ 35,260 200 Selective Insurance Group, Inc. ...................... 5,952 100 Stewart Information Services Corp.*..................... 2,824 300 Trover Solutions, Inc.*...... 2,117 300 W.R. Berkley Corp. .......... 10,278 150 Wesco Financial Corp. ....... 50,996 ----------- 936,199 ----------- IT HARDWARE -- 4.4% 2,900 3Com Corp.*.................. 17,110 500 ADE Corp.*................... 8,785 3,600 Applied Materials, Inc.*..... 65,304 600 Artisan Components, Inc.*.... 10,086 1,400 Aspect Communications Corp.*..................... 11,662 1,100 Avocent Corp.*............... 33,319 3,800 Cisco Systems, Inc.*......... 74,252 600 Cobra Electronics Corp.*..... 4,104 900 Comtech Telecommunications Corp.*..................... 21,519 606 Digi International, Inc.*.... 4,011 400 Diodes, Inc.*................ 8,236 200 Espey Mfg. & Electronics Corp. ..................... 4,590
SHARES VALUE ---------- ----------- COMMON STOCKS (CONTINUED) IT HARDWARE (CONTINUED) 600 Flextronics International, Ltd.*...................... $ 8,508 2,000 Foundry Networks, Inc.*...... 43,020 1,000 GlobespanVirata, Inc.*....... 7,220 1,000 Hutchinson Technology, Inc.*...................... 33,100 3,500 Intel Corp. ................. 96,285 3,700 Intersil Corp., Class A*..... 88,060 4,400 Juniper Networks, Inc.*...... 65,648 1,300 Marvell Technology Group, Ltd.*...................... 49,075 4,700 MEMC Electronic Materials, Inc.*...................... 51,277 200 Merrimac Industries, Inc.*... 900 200 Micronetics, Inc.*........... 1,200 600 Microsemi Corp.*............. 9,144 4,400 National Semiconductor Corp.*..................... 142,076 800 Network Equipment Technologies, Inc.*........ 7,320 700 OmniVision Technologies, Inc.*...................... 29,568 200 Optelecom, Inc.*............. 2,424 250 Orbit International Corp.*... 1,763 300 Peak International, Ltd.*.... 1,632 600 Sigma Designs, Inc.*......... 5,154 100 Sparton Corp.*............... 1,055 700 SpectraLink Corp.*........... 13,076 400 Standard Microsystems Corp.*..................... 10,792 700 Ultratech, Inc.*............. 19,754 1,600 Vishay Intertechnology, Inc.*...................... 28,032 ----------- 979,061 ----------- MACHINERY -- 2.7% 300 American Standard Cos., Inc.*...................... 25,275 300 Applied Films Corp.*......... 8,919 300 BHA Group Holdings, Inc. .... 7,128 2,800 Brunswick Corp. ............. 71,904 300 Cascade Corp. ............... 6,615 200 Chicago Rivet & Machine Co. ....................... 5,404 200 CompX International, Inc. ... 1,380 800 Cummins, Inc. ............... 35,544 300 Evans & Sutherland Computer Corp.*..................... 1,807 300 Gehl Co.*.................... 3,417 200 P & F Industries, Inc.*...... 1,510 100 Regal-Beloit Corp. .......... 2,040 7,300 Rockwell Automation, Inc. ... 191,625 700 Rofin-Sinar Technologies, Inc.*...................... 14,693 300 SL Industries, Inc.*......... 2,397 2,100 Snap-on, Inc. ............... 58,065 100 Standex International Corp. ..................... 2,430 500 Tecumseh Products Co., Class B.......................... 17,750 200 The Eastern Co. ............. 2,932 400 Toro Co. .................... 18,000 500 Ultralife Batteries, Inc.*... 7,175 1,300 United Technologies Corp. ... 100,464 200 York International Corp. .... 6,918 ----------- 593,392 ----------- MEDIA -- 2.2% 200 Consolidated Graphics, Inc.*...................... 5,086 200 Equity Marketing, Inc.*...... 3,020 300 Fox Entertainment Group, Inc., Class A*............. 8,397 100 Grey Global Group, Inc. ..... 76,110
See accompanying notes to the financial statements. 86 AXA ROSENBERG GLOBAL LONG/SHORT EQUITY FUND (A) SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- SEPTEMBER 30, 2003 (UNAUDITED) --------------------------------------------------------------------------------
SHARES VALUE ---------- ----------- COMMON STOCKS (CONTINUED) MEDIA (CONTINUED) 300 Integrity Media, Inc.*....... $ 1,095 800 Media General, Inc., Class A.......................... 48,880 300 Thomas Nelson, Inc.*......... 4,143 1,100 Tribune Co. ................. 50,490 3,800 Viacom, Inc., Class A........ 145,920 7,400 Walt Disney Co. ............. 149,258 ----------- 492,399 ----------- METALS -- 0.2% 400 AMCOL International Corp. ... 4,944 1,000 General Cable Corp.*......... 7,960 500 Layne Christensen Co.*....... 4,798 100 Olympic Steel, Inc.*......... 435 900 RTI International Metals, Inc.*...................... 9,468 600 Ryerson Tull, Inc. .......... 4,680 500 Southern Peru Copper Corp. ..................... 11,060 ----------- 43,345 ----------- MISCELLANEOUS FINANCIAL -- 2.4% 4,100 Ameritrade Holdings Corp.*... 46,125 100 Interactive Data Corp.*...... 1,580 5,400 J.P. Morgan Chase & Co. ..... 185,382 5,400 Janus Capital Group, Inc. ... 75,438 1,400 Legg Mason, Inc. ............ 101,080 1,500 Principal Financial Group, Inc. ...................... 46,485 400 Stifel Financial Corp.*...... 5,400 1,500 T. Rowe Price Group, Inc. ... 61,890 ----------- 523,380 ----------- OFFICE MACHINERY -- 1.5% 1,400 Avid Technology, Inc.*....... 73,975 1,200 Dot Hill Systems Corp.*...... 16,512 600 Eastman Kodak Co. ........... 12,564 200 Interphase Corp.*............ 1,816 2,100 Maxtor Corp.*................ 25,557 450 Metrologic Instruments, Inc.*...................... 16,196 300 PAR Technology Corp.*........ 1,995 1,300 Presstek, Inc.*.............. 9,593 300 Printronix, Inc.*............ 3,975 1,000 SanDisk Corp.*............... 63,740 2,400 Storage Technology Corp.*.... 57,936 3,800 Western Digital Corp.*....... 48,982 ----------- 332,841 ----------- OIL -- 0.5% 800 Brigham Exploration Co.*..... 5,440 600 Carrizo Oil & Gas, Inc.*..... 4,260 400 Clayton Williams Energy, Inc.*...................... 7,540 300 Double Eagle Petroleum Co.*....................... 3,060 1,400 Evergreen Resources, Inc.*... 37,800 1,100 Pogo Producing Co. .......... 49,808 ----------- 107,908 ----------- OIL -- INTERNATIONAL -- 1.6% 2,100 ChevronTexaco Corp. ......... 150,045 2,800 ConocoPhillips............... 153,300 1,500 Marathon Oil Corp. .......... 42,750 ----------- 346,095 -----------
SHARES VALUE ---------- ----------- COMMON STOCKS (CONTINUED) OIL DISTRIBUTION -- 0.4% 200 Adams Resources & Energy, Inc. ...................... $ 2,010 1,400 Petroleum Development Corp.*..................... 16,772 1,400 Sunoco, Inc. ................ 56,308 600 TransMontaigne, Inc.*........ 3,576 ----------- 78,666 ----------- OIL SERVICES -- 1.3% 5,500 Halliburton Co. ............. 133,375 1,000 Oil States International, Inc.*...................... 12,690 500 Resource America, Inc., Class A.......................... 5,940 2,600 Schlumberger, Ltd. .......... 125,840 ----------- 277,845 ----------- OTHER UTILITIES -- 0.3% 200 Chesapeake Utilities Corp. ..................... 4,584 100 Delta Natural Gas Co., Inc. ...................... 2,301 1,700 National Fuel Gas Co. ....... 38,845 1,400 ONEOK, Inc. ................. 28,238 ----------- 73,968 ----------- PAPER -- 0.3% 100 Chesapeake Corp. ............ 2,254 300 CSS Industries, Inc. ........ 7,725 500 Lydall, Inc.*................ 6,005 300 Nashua Corp.*................ 2,385 800 Universal Forest Products, Inc. ...................... 19,416 1,600 Wausau-Mosinee Paper Corp. ..................... 19,536 ----------- 57,321 ----------- REAL ESTATE DEVELOPMENT -- 0.2% 300 American Safety Insurance Group, Ltd................. 3,705 300 AMREP Corp. ................. 4,512 200 Bluegreen Corp.*............. 1,160 700 Capital Title Group, Inc.*... 3,115 200 ILX Resorts, Inc. ........... 1,500 200 J.W. Mays, Inc.*............. 2,632 200 Patriot Transportation Holding, Inc.*............. 5,820 2,000 Trizec Properties, Inc. ..... 24,520 ----------- 46,964 ----------- REAL ESTATE INVESTMENT TRUSTS -- 1.1% 200 Brandywine Realty Trust...... 5,138 500 ElderTrust................... 4,925 1,400 Equity Office Properties Trust...................... 38,542 3,700 iStar Financial, Inc. ....... 144,115 200 Koger Equity, Inc. .......... 3,760 200 Mission West Properties, Inc. ...................... 2,472 300 Novastar Financial, Inc. .... 17,241 300 Presidential Realty Corp., Class B.................... 2,400 400 SL Green Realty Corp. ....... 14,444 ----------- 233,037 ----------- RETAIL -- 6.9% 900 1-800 CONTACTS, Inc.*........ 18,162 1,700 AnnTaylor Stores Corp.*...... 54,638 2,000 Best Buy Co., Inc.*.......... 95,040 900 Big Lots, Inc.*.............. 14,229 200 Blair Corp. ................. 4,160
See accompanying notes to the financial statements. 87 AXA ROSENBERG GLOBAL LONG/SHORT EQUITY FUND (A) SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- SEPTEMBER 30, 2003 (UNAUDITED) --------------------------------------------------------------------------------
SHARES VALUE ---------- ----------- COMMON STOCKS (CONTINUED) RETAIL (CONTINUED) 600 Brown Shoe Co., Inc. ........ $ 19,020 700 Burlington Coat Factory Warehouse Corp............. 13,090 450 Coldwater Creek, Inc.*....... 4,419 1,700 Dollar General Corp. ........ 34,000 1,800 Dollar Tree Stores, Inc.*.... 60,300 4,200 eBay, Inc.*.................. 223,859 1,900 Family Dollar Stores, Inc. ...................... 75,791 2,600 Federated Department Stores, Inc. ...................... 108,940 6,200 Foot Locker, Inc. ........... 100,440 700 Friedman's, Inc., Class A.... 9,765 400 Gap, Inc. ................... 6,848 500 Insight Enterprises, Inc.*... 7,610 3,400 J.C. Penney Co., Inc. ....... 72,658 400 Linen 'n Things, Inc.*....... 9,512 500 Longs Drug Stores Corp. ..... 10,065 3,200 Lowe's Co., Inc. ............ 166,080 200 Matria Healthcare, Inc.*..... 3,452 4,200 Office Depot, Inc.*.......... 59,010 1,500 Pacific Sunwear of California, Inc.*.......... 30,990 100 S&K Famous Brands, Inc.*..... 1,705 200 Sears, Roebuck & Co. ........ 8,746 400 Sharper Image Corp.*......... 9,224 5,600 Staples, Inc.*............... 133,000 3,900 Toys "R" Us, Inc.*........... 46,917 2,000 Tractor Supply Co.*.......... 65,620 400 Trans World Entertainment Corp.*..................... 2,260 800 Wal-Mart Stores, Inc. ....... 44,680 500 Zale Corp.*.................. 22,205 ----------- 1,536,435 ----------- SERVICES -- 4.2% 1,100 Administaff, Inc.*........... 9,779 300 Angelica Corp. .............. 5,700 3,000 Apollo Group, Inc., Class A*......................... 198,090 1,100 Brinks Co. .................. 19,096 2,400 Career Education Corp.*...... 108,720 1,000 CheckFree Corp.*............. 20,000 300 Concorde Career Colleges, Inc.*...................... 7,005 500 Cornell Cos., Inc.*.......... 8,225 500 Discovery Partners International*............. 2,960 300 Emeritus Corp.*.............. 2,280 300 Exponet, Inc.*............... 5,217 1,100 Getty Images, Inc.*.......... 38,676 500 IMCO Recycling, Inc.*........ 3,075 200 Imperial Parking Corp.*...... 4,220 500 ITT Educational Services, Inc.*...................... 23,960 900 Kelly Services, Inc., Class A.......................... 22,446 200 Modem Media, Inc.*........... 1,000 300 Monro Muffler Brake, Inc.*... 8,880 2,800 MPS Group, Inc.*............. 25,200 1,600 Navigant Consulting, Inc.*... 19,696 400 NCO Group, Inc.*............. 9,388 500 NCO Portfolio Management, Inc.*...................... 3,050 400 Opinion Research Corp.*...... 2,440 1,300 PAREXEL International Corp.*..................... 19,916 100 Pre-paid Legal Services, Inc.*...................... 2,342 4,300 Prudential Financial, Inc. ...................... 160,648 400 ResortQuest International, Inc.*...................... 2,640
SHARES VALUE ---------- ----------- COMMON STOCKS (CONTINUED) SERVICES (CONTINUED) 600 Schnitzer Steel Industries, Inc. ...................... $ 18,018 400 Service Corp. International*............. 1,828 2,200 Sylvan Learning Systems, Inc.*...................... 60,016 500 TechTeam Global, Inc.*....... 3,055 1,300 Tetra Technology, Inc.*...... 25,883 900 University of Phoenix Online*.................... 59,922 2,400 US Oncology, Inc.*........... 17,544 300 Volt Information Sciences, Inc.*...................... 4,950 ----------- 925,865 ----------- SOAP & COSMETICS -- 1.6% 4,500 Avon Products, Inc. ......... 290,520 315 Del Laboratories, Inc.*...... 8,899 1,900 Estee Lauder Co., Inc., Class A.......................... 64,790 ----------- 364,209 ----------- SOFTWARE -- 7.9% 2,800 Adobe Systems, Inc. ......... 109,928 500 Ansoft Corp.*................ 5,125 2,400 Ascential Software Corp.*.... 44,472 5,300 BEA Systems, Inc.*........... 63,865 300 Captiva Software Corp.*...... 2,247 800 CIBER, Inc.*................. 6,080 2,500 Citrix Systems, Inc.*........ 55,200 3,500 Computer Associates International, Inc......... 91,385 2,000 Computer Sciences Corp.*..... 75,140 100 Concerto Software, Inc.*..... 850 700 Concord Communications, Inc.*...................... 9,163 1,000 Concur Technologies, Inc.*... 11,860 1,600 Covansys Corp.*.............. 9,728 1,400 Dendrite International, Inc.*...................... 21,266 800 Digital River, Inc.*......... 21,880 700 eCollege.com, Inc.*.......... 14,098 400 Edgewater Technology, Inc.*...................... 2,080 400 eFunds Corp.*................ 4,940 1,100 Electronic Arts, Inc.*....... 101,453 1,700 Epicor Software Corp.*....... 15,198 1,400 eResearch Technology, Inc.*...................... 48,762 1,000 Fair Issac Corp. ............ 58,960 300 FileNET Corp.*............... 6,021 600 FindWhat.com*................ 10,368 1,800 First American Corp. ........ 44,820 100 First Data Corp. ............ 3,996 3,400 GTECH Holdings Corp. ........ 145,690 1,300 Harris Interactive, Inc.*.... 9,152 600 Hyperion Solutions Corp.*.... 17,322 2,100 International Business Machines Corp.............. 185,492 1,000 Legato Systems, Inc.*........ 11,210 1,200 Lionbridge Technologies, Inc.*...................... 9,012 1,600 Macromedia, Inc.*............ 39,584 200 Manatron, Inc.*.............. 1,344 600 MapInfo Corp.*............... 5,754 200 Mediware Information Systems, Inc.*...................... 2,810 3,300 Mentor Graphics Corp.*....... 57,849 1,800 Micromuse, Inc.*............. 14,724 1,800 Microsoft Corp. ............. 50,022
See accompanying notes to the financial statements. 88 AXA ROSENBERG GLOBAL LONG/SHORT EQUITY FUND (A) SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- SEPTEMBER 30, 2003 (UNAUDITED) --------------------------------------------------------------------------------
SHARES VALUE ---------- ----------- COMMON STOCKS (CONTINUED) SOFTWARE (CONTINUED) 700 Mobius Management Systems, Inc.*...................... $ 5,614 200 NWH, Inc. ................... 3,874 100 Pacific Internet, Ltd.*...... 725 1,300 Packeteer, Inc.*............. 15,665 1,200 QAD, Inc.*................... 13,152 300 Quality Systems, Inc.*....... 12,060 1,500 Radica Games, Ltd.*.......... 10,500 1,000 SeaChange International, Inc.*...................... 12,530 1,100 Secure Computing Corp.*...... 12,848 900 SM&A*........................ 10,359 5,000 Sonus Networks, Inc.*........ 34,650 1,000 SPSS, Inc.*.................. 16,870 200 SupportSoft, Inc.*........... 2,238 4,700 Sybase, Inc.*................ 79,947 700 Sykes Enterprises, Inc.*..... 4,634 2,400 Synopsys, Inc.*.............. 73,848 1,000 Systems & Computer Technology Corp.*..................... 10,430 300 TSR, Inc. ................... 2,160 1,500 Vastera, Inc.*............... 7,710 ----------- 1,718,664 ----------- TELEPHONE -- 3.7% 1,600 AOL Time Warner, Inc.*....... 24,176 300 Atlantic Tele-Network, Inc. ...................... 6,345 9,203 Comcast Corp., Class A*...... 284,189 1,300 Cox Communications, Inc., Class A*................... 41,106 400 D&E Communication, Inc. ..... 5,672 4,700 EchoStar Communications Corp., Class A*............ 179,869 800 Golden Telecom, Inc.*........ 21,872 200 Hector Communications Corp.*..................... 2,612 1,700 Monster Worldwide, Inc.*..... 42,806 1,200 Sprint (FON Group) Corp. .... 18,120 5,200 Yahoo!, Inc.*................ 183,976 ----------- 810,743 ----------- TEXTILES -- 1.5% 500 Albany International Corp., Class A.................... 15,420 600 Ashworth, Inc.*.............. 4,158 1,300 Coach, Inc.*................. 70,980 400 Delta Apparel, Inc. ......... 6,040 200 Haggar Corp. ................ 3,090 3,300 Liz Claiborne, Inc. ......... 112,365 300 Oxford Industries, Inc. ..... 19,260 1,200 Phillips-Van Heusen Corp. ... 18,012 400 Phoenix Footwear Group, Inc.*...................... 2,384 300 Rocky Shoes & Boots, Inc.*... 3,405 400 Saucony, Inc., Class A....... 5,520 600 Steven Madden, Ltd.*......... 11,382 2,100 Stride Rite Corp. ........... 22,680 300 Tandy Brands Accessories, Inc. ...................... 4,287 2,300 Tommy Hilfiger Corp.*........ 27,393 ----------- 326,376 -----------
SHARES VALUE ---------- ----------- COMMON STOCKS (CONTINUED) TRANSPORTATION -- 2.2% 1,200 Alexander & Baldwin, Inc. ... $ 33,696 4,600 Burlington Northern Santa Fe Corp. ..................... 132,802 400 Celadon Group, Inc.*......... 5,140 200 Covenant Transport, Inc., Class A*................... 3,680 1,300 EGL, Inc.*................... 23,634 2,800 Frontline, Ltd. ............. 46,900 1,500 General Maritime Corp.*...... 17,160 1,500 J.B. Hunt Transport Services, Inc.*...................... 39,030 500 Maritrans, Inc. ............. 7,500 450 Marten Transport, Ltd.*...... 11,745 1,100 Overseas Shipholding Group, Inc. ...................... 28,435 2,400 Ryder System, Inc. .......... 70,368 800 Sea Containers, Ltd., Class A.......................... 11,688 1,300 Teekay Shipping Corp. ....... 54,990 400 U.S. Xpress Enterprises, Inc., Class A*............. 4,900 ----------- 491,668 ----------- TRAVEL & ENTERTAINMENT --2.5% 900 AMC Entertainment, Inc.*..... 12,060 1,900 Applebee's International, Inc. ...................... 59,812 2,000 Blockbuster, Inc., Class A... 42,000 1,600 CBRL Group, Inc. ............ 56,768 8,400 Cendant Corp.*............... 156,996 400 Checkers Drive-In Restaurants, Inc.*......... 3,680 200 Dave & Buster's, Inc.*....... 2,060 300 Garden Fresh Restaurant Corp.*..................... 4,773 1,000 Landry's Restaurants, Inc. ...................... 20,600 500 Lone Star Steakhouse & Saloon, Inc................ 10,450 600 Marcus Corp. ................ 9,156 200 Max & Erma's Restaurants, Inc.*...................... 3,446 3,700 McDonald's Corp. ............ 87,098 1,500 Outback Steakhouse, Inc. .... 56,805 800 WestCoast Hospitality Corp.*..................... 3,680 1,100 WMS Industries, Inc.*........ 24,926 ----------- 554,310 ----------- WHOLESALE -- 1.1% 900 AdvancePCS*.................. 41,013 700 Applied Industrial Technology, Inc. .......... 13,909 700 Aviall, Inc.*................ 8,666 800 CompuCom Systems, Inc.*...... 3,360 200 Department 56, Inc.*......... 2,540 200 Enesco Group, Inc.*.......... 1,600 300 GTSI Corp.*.................. 3,105 805 Handleman Co. ............... 13,588 400 Keystone Automotive Industries, Inc.*.......... 8,680 200 Moore Medical Corp.*......... 1,152 2,000 Omnicare, Inc. .............. 72,120 500 PSS World Medical, Inc.*..... 4,435 100 Richardson Electronics, Ltd. ...................... 1,060 1,100 Stewart & Stevenson Services, Inc........................ 16,522 1,300 Sysco Corp. ................. 42,523
See accompanying notes to the financial statements. 89 AXA ROSENBERG GLOBAL LONG/SHORT EQUITY FUND (A) SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- SEPTEMBER 30, 2003 (UNAUDITED) --------------------------------------------------------------------------------
SHARES OR PRINCIPAL VALUE ---------- ----------- 700 TBC Corp.*................... $ 17,535 300 WESCO International, Inc.*... 1,569 ----------- 253,377 ----------- TOTAL COMMON STOCKS.......... 20,049,684 ----------- REPURCHASE AGREEMENTS --10.9% $2,408,330 Bear Stearns, dated 9/30/03, due 10/1/03 at .96% with a maturity value of $2,408,397 (Fully collateralized by US Government Securities)..... 2,408,330 ----------- TOTAL REPURCHASE AGREEMENTS................. 2,408,330 ----------- TOTAL INVESTMENTS (COST $18,709,870) (B) -- 101.6%.............. 22,458,014 LIABILITIES IN EXCESS OF OTHER ASSETS -- (1.6)%..... (345,421) ----------- NET ASSETS -- 100.0%......... $22,112,593 ===========
--------------- * Non-income producing security. (a) All long positions are pledged as collateral for securities sold short. (b) Represents cost for financial reporting purposes, is substantially the same as federal income tax purposes, and differs from value by net unrealized appreciation of securities as follows: Unrealized appreciation................ $3,942,598 Unrealized depreciation................ (194,454) ---------- Net unrealized appreciation............ $3,748,144 ==========
See accompanying notes to the financial statements. 90 AXA ROSENBERG GLOBAL LONG/SHORT EQUITY FUND SCHEDULE OF SECURITIES SOLD SHORT -- SEPTEMBER 30, 2003 (UNAUDITED) --------------------------------------------------------------------------------
SHARES VALUE ------ ----------- COMMON STOCKS -- 87.4% AIRLINES -- 0.9% 800 Atlantic Coast Airlines Holdings, Inc.*.......................... $ 6,808 10,900 Southwest Airlines Corp. ........ 192,930 ----------- 199,738 ----------- AUTOS -- 0.2% 2,700 Arvinmeritor, Inc. .............. 48,087 400 IMPCO Technologies, Inc.*........ 2,868 ----------- 50,955 ----------- BANKS -- 7.9% 7,000 AmeriCredit Corp.*............... 72,100 1,400 Boston Private Financial Holdings, Inc. ................ 32,984 7,100 Fifth Third Bancorp.............. 392,418 600 Financial Federal Corp.*......... 18,306 9,600 General Electric Co. ............ 286,176 1,500 Investors Financial Services Corp. ......................... 47,100 1,200 Leucadia National Corp. ......... 45,420 4,300 North Fork Bancorporation, Inc. .......................... 149,425 4,900 Northern Trust Corp. ............ 207,956 1,300 Old National Bancorp............. 29,055 800 Silicon Valley Bancshares*....... 22,104 1,200 Southwest Bancorp. of Texas, Inc. .......................... 43,812 1,200 Sterling Bancshares, Inc. ....... 14,316 4,000 Synovus Financial Co. ........... 99,960 500 The Banc Corp. .................. 3,755 5,200 Wells Fargo & Co. ............... 267,800 ----------- 1,732,687 ----------- BIOTECHNOLOGY -- 1.9% 800 Alexion Pharmaceuticals*......... 13,176 900 Avigen, Inc.*.................... 4,680 2,200 Biogen, Inc.*.................... 84,106 5,600 Human Genome Sciences, Inc.*..... 76,496 4,000 IDEC Pharmaceuticals Corp.*...... 132,600 2,700 Incyte Corp.*.................... 12,447 4,100 Millennium Pharmaceuticals, Inc.*.......................... 63,099 1,400 Myriad Genetics, Inc.*........... 15,904 800 Noven Pharmaceuticals, Inc.*..... 9,120 900 Telik, Inc.*..................... 18,045 ----------- 429,673 ----------- BUILDING -- 0.1% 1,000 Palm Harbor Homes, Inc.*......... 17,130 700 Willbros Group, Inc.*............ 7,182 ----------- 24,312 ----------- CELLULAR -- 0.8% 18,900 AT&T Wireless Services, Inc.*.... 154,602 1,300 Price Communications Corp.*...... 16,120 ----------- 170,722 ----------- CHEMICALS -- 1.2% 2,700 Air Products & Chemical, Inc. ... 121,770 600 BioSphere Medical, Inc.*......... 1,890 1,100 Ferro Corp. ..................... 23,496 1,000 FMC Corp.*....................... 25,200 4,100 IMC Global, Inc. ................ 26,281 3,600 Lyondell Chemical Co. ........... 46,008 900 North American Scientific, Inc.*.......................... 9,585
SHARES VALUE ------ ----------- COMMON STOCKS (CONTINUED) CHEMICALS (CONTINUED) 300 OM Group, Inc.*.................. $ 4,392 800 Valhi, Inc. ..................... 9,008 ----------- 267,630 ----------- CONSTRUCTION MATERIALS -- 0.0% 600 Nanophase Technologies Corp.*.... 3,870 600 Owens-Illinois, Inc.*............ 6,852 ----------- 10,722 ----------- DEFENSE -- 1.0% 300 Alliant Techsystems, Inc.*....... 14,415 200 Dril-Quip, Inc.*................. 3,380 1,200 DRS Technologies, Inc.*.......... 28,956 200 Edo Corp. ....................... 4,050 1,100 GenCorp, Inc. ................... 9,845 700 Innovative Solutions & Support, Inc.*.......................... 5,656 300 Integrated Defense Technologies, Inc.*.......................... 5,034 400 Microvision, Inc.*............... 3,180 1,600 Northrop Grumman Corp. .......... 137,952 800 Sturm, Ruger & Co., Inc. ........ 8,256 400 United Industrial Corp. ......... 6,360 ----------- 227,084 ----------- DRUGS -- 5.5% 4,500 Abbott Laboratories.............. 191,476 1,200 Adolor Corp.*.................... 22,020 1,900 Alkermes, Inc.*.................. 26,068 1,100 AtheroGenics, Inc.*.............. 18,414 400 Bone Care International, Inc.*... 5,088 900 Cephalon, Inc.*.................. 41,328 1,100 Cerus Corp.*..................... 5,093 1,000 Columbia Laboratories, Inc.*..... 12,080 100 Cubist Pharmaceuticals, Inc.*.... 1,079 1,200 CV Therapeutics, Inc.*........... 26,400 2,300 Eli Lilly & Co. ................. 136,620 400 Emisphere Technologies, Inc.*.... 2,904 191 Enzo Biochem, Inc.*.............. 3,726 600 Epix Medical, Inc.*.............. 10,212 500 First Horizon Pharmaceutical Corp.*......................... 3,200 700 Gene Logic, Inc.*................ 3,290 1,300 Immunomedics, Inc.*.............. 9,516 900 Inspire Pharmaceuticals, Inc.*... 15,480 3,600 Isis Pharmaceuticals, Inc.*...... 23,472 100 Matrixx Initiatives, Inc.*....... 1,100 1,101 Neose Technologies, Inc.*........ 10,294 700 Neurogen Corp.*.................. 4,095 1,300 NPS Pharmaceuticals, Inc.*....... 36,205 600 Pain Therapeutics, Inc.*......... 3,690 300 Pharmacyclics, Inc.*............. 1,455 2,700 Protein Design Labs, Inc.*....... 37,422 700 Salix Pharmaceuticals Ltd.*...... 13,482 12,300 Schering-Plough Corp. ........... 187,452 2,200 Sepracor, Inc.*.................. 60,588 800 Tanox, Inc.*..................... 16,008 2,200 Transkaryotic Therapies, Inc.*... 22,990 1,800 Tularik, Inc.*................... 17,748 4,400 Vertex Pharmaceuticals, Inc.*.... 54,120 4,000 Wyeth............................ 184,400 ----------- 1,208,515 -----------
See accompanying notes to the financial statements. 91 AXA ROSENBERG GLOBAL LONG/SHORT EQUITY FUND SCHEDULE OF SECURITIES SOLD SHORT (CONTINUED) -- SEPTEMBER 30, 2003 (UNAUDITED) --------------------------------------------------------------------------------
SHARES VALUE ------ ----------- COMMON STOCKS (CONTINUED) DURABLES -- 0.5% 400 Maytag Corp. .................... $ 9,988 1,300 Monaco Coach Corp.*.............. 21,515 8,500 National R.V. Holdings, Inc.*.... 73,950 600 Universal Electronics, Inc.*..... 6,900 ----------- 112,353 ----------- ELECTRIC UTILITIES -- 3.9% 5,600 AES Corp.*....................... 41,552 1,500 Black Hills Corp. ............... 46,290 2,200 Calpine Corp.*................... 10,758 1,200 Cleco Corp. ..................... 19,608 3,600 DPL Inc. ........................ 61,740 200 DTE Energy Co. .................. 7,378 3,500 Edison International*............ 66,850 900 FirstEnergy Corp. ............... 28,710 1,600 Sempra Energy.................... 46,976 5,700 Southern Co. .................... 167,124 5,100 Teco Energy, Inc. ............... 70,482 8,100 TXU Corp. ....................... 190,836 7,400 Xcel Energy, Inc. ............... 114,478 ----------- 872,782 ----------- FINANCIAL INVESTMENTS -- 0.6% 900 Headwaters, Inc.*................ 14,490 1,800 Macrovision Corp.*............... 33,246 3,200 Rambus, Inc.*.................... 53,696 1,000 Universal Compression Holdings, Inc.*.......................... 21,520 ----------- 122,952 ----------- FOOD -- 2.5% 200 Alico, Inc. ..................... 5,602 200 Bridgford Foods Corp. ........... 1,540 200 Cagle's, Inc., Class A*.......... 1,710 9,500 Coca-Cola Co. ................... 408,120 2,100 Hormel Foods Corp. .............. 48,258 800 Kraft Foods, Inc., A Shares...... 23,600 600 Monterey Pasta Co.*.............. 2,220 500 Pepsi Bottling Group, Inc. ...... 10,290 1,545 Tootsie Roll Industries, Inc. ... 47,895 ----------- 549,235 ----------- HEALTH -- 3.6% 500 Alliance Imaging, Inc.*.......... 1,720 1,100 Array BioPharma, Inc.*........... 6,029 300 Bio Reference Labs, Inc.*........ 3,084 1,900 CIGNA Corp. ..................... 84,835 3,800 Community Health Systems, Inc.*.......................... 82,460 2,000 First Health Group Corp.*........ 52,300 1,600 HCA, Inc. ....................... 58,976 400 Health Management Associates, Inc., A Shares................. 8,724 6,100 Laboratory Corp. of America Holdings*...................... 175,071 300 Medcath Corp.*................... 3,102 1,600 Orthodontic Centers Of America, Inc.*.......................... 12,608 300 Pediatric Services of America, Inc.*.......................... 2,529 3,500 Province Healthcare Co.*......... 45,325 2,300 Quest Diagnostics, Inc.*......... 139,472 300 Specialty Laboratories, Inc.*.... 3,915 2,300 Tenet Healthcare Corp.*.......... 33,304 1,500 Triad Hospitals, Inc.*........... 45,420
SHARES VALUE ------ ----------- COMMON STOCKS (CONTINUED) HEALTH (CONTINUED) 400 U.S. Physical Therapy, Inc.*..... $ 4,892 900 United Surgical Partners, Inc.*.......................... 25,470 ----------- 789,236 ----------- HOUSEHOLD -- 2.1% 600 AEP Industries, Inc.*............ 5,304 1,100 Boyds Collection Ltd.*........... 4,961 1,900 Fortune Brands, Inc. ............ 107,825 6,500 Gillette Co. .................... 207,870 600 Leapfrog Enterprises, Inc.*...... 22,800 200 Mattel, Inc. .................... 3,792 1,400 Newell Rubbermaid, Inc. ......... 30,338 2,300 Pactiv Corp.*.................... 46,644 1,900 Tupperware Corp. ................ 25,422 500 Virco Manufacturing Corp. ....... 2,850 ----------- 457,806 ----------- INSTRUMENTS -- 5.2% 2,200 Agilent Technologies, Inc.*...... 48,642 100 Aksys Ltd.*...................... 999 800 American Medical Systems Holdings, Inc.*................ 17,360 9,000 Applera Corp. - Applied Biosystems Group............... 200,790 600 Aspect Medical Systems, Inc.*.... 6,162 5,400 Baxter International, Inc. ...... 156,924 2,200 Biomet, Inc. .................... 73,942 800 Catapult Communications Corp.*... 10,064 1,000 Cholestech Corp.*................ 7,600 800 Ciphergen Biosystems, Inc.*...... 9,880 900 Conceptus, Inc.*................. 11,790 300 CyberOptics, Inc.*............... 2,805 3,000 Cytyc Corp.*..................... 45,120 300 Daxor Corp.*..................... 4,368 500 Embrex, Inc.*.................... 4,960 500 Endocardial Solutions, Inc.*..... 2,500 400 Haemonetics Corp.*............... 9,444 500 HealthTronics Surgical Services, Inc.*.......................... 2,650 500 ICU Medical, Inc.*............... 13,605 650 Intuitive Surgical, Inc.*........ 10,842 900 Ixia*............................ 9,737 400 Keithley Instruments, Inc. ...... 5,660 6,300 Medtronic, Inc. ................. 295,596 1,100 Mettler-Toledo International, Inc.*.......................... 39,545 600 Micro Therapeutics, Inc.*........ 3,174 2,200 Oakley, Inc.*.................... 22,000 1,000 OraSure Technologies, Inc.*...... 9,500 424 OrthoLogic Corp.*................ 2,281 500 PharmaNetics, Inc.*.............. 2,475 700 Possis Medical, Inc.*............ 10,920 400 Q-Med, Inc.*..................... 2,476 1,200 ResMed, Inc.*.................... 52,776 1,000 Varian, Inc.*.................... 31,320 400 Zoll Medical Corp.*.............. 12,820 ----------- 1,140,727 ----------- INSURANCE -- 2.4% 1,700 21st Century Insurance Group..... 23,426 1,900 Allmerica Financial Corp.*....... 45,239 900 American International Group, Inc. .......................... 51,930
See accompanying notes to the financial statements. 92 AXA ROSENBERG GLOBAL LONG/SHORT EQUITY FUND SCHEDULE OF SECURITIES SOLD SHORT (CONTINUED) -- SEPTEMBER 30, 2003 (UNAUDITED) --------------------------------------------------------------------------------
SHARES VALUE ------ ----------- COMMON STOCKS (CONTINUED) INSURANCE (CONTINUED) 2,800 Arthur J. Gallagher & Co. ....... $ 79,184 1,300 Brown & Brown, Inc. ............. 40,014 100 Citizens, Inc.*.................. 805 2,600 Hartford Financial Services Group, Inc. ................... 136,838 1,000 NDCHealth Corp. ................. 20,950 900 Presidential Life Corp. ......... 13,617 300 Unico American Corp.*............ 1,389 3,800 Willis Group Holdings Ltd. ...... 116,850 ----------- 530,242 ----------- IT HARDWARE -- 4.1% 300 Advanced Energy Industries, Inc.*.......................... 5,661 900 Anaren Microwave, Inc.*.......... 11,484 400 Bel Fuse, Inc., Class A.......... 9,200 2,400 Broadcom Corp., Class A*......... 63,888 400 Celeritek, Inc.*................. 3,180 400 Centillium Communications, Inc.*.......................... 2,828 200 EMS Technologies, Inc.*.......... 3,396 1,700 Energy Conversion Devices, Inc.*.......................... 17,867 1,900 ESS Technology, Inc.*............ 20,482 500 Exar Corp.*...................... 7,065 1,400 Helix Technology Corp. .......... 22,918 600 Itron, Inc.*..................... 12,042 3,900 LSI Logic Corp.*................. 35,061 500 Micrel, Inc.*.................... 6,095 6,200 Microchip Technology, Inc. ...... 148,428 3,900 Molex, Inc. ..................... 111,501 700 Monolithic System Technology, Inc.*.......................... 5,887 18,300 Motorola, Inc. .................. 219,051 300 Parlex Corp.*.................... 2,361 1,100 Pericom Semiconductor Corp.*..... 11,000 900 Plantronics, Inc.*............... 21,483 6,300 Sanmina-SCI Corp.*............... 61,110 2,500 Semtech Corp.*................... 46,150 3,200 Solectron Corp.*................. 18,720 2,300 Technitrol, Inc.*................ 42,343 800 Virage Logic Corp.*.............. 6,080 ----------- 915,281 ----------- LIQUOR & TOBACCO -- 0.5% 2,800 R.J. Reynolds Tobacco Holdings, Inc. .......................... 110,712 441 Vector Group Ltd. ............... 6,350 ----------- 117,062 ----------- MACHINERY -- 1.7% 400 Actuant Corp., Class A*.......... 22,460 1,900 AGCO Corp.*...................... 32,566 300 CUNO, Inc.*...................... 11,757 1,700 FuelCell Energy, Inc.*........... 19,890 1,900 GrafTech International Ltd.*..... 15,200 400 Intevac, Inc.*................... 4,072 400 ITT Industries, Inc. ............ 23,936 500 Mobile Mini, Inc.*............... 9,645 1,400 Parker Hannifin Corp. ........... 62,580 200 Quipp, Inc.*..................... 2,456 1,300 Rayovac Corp.*................... 18,980 1,500 Shaw Group, Inc.*................ 15,765 1,100 Silgan Holdings, Inc.*........... 35,200 1,000 SPX Corp.*....................... 45,280
SHARES VALUE ------ ----------- COMMON STOCKS (CONTINUED) MACHINERY (CONTINUED) 1,900 Stanley Works.................... $ 56,088 300 TransTechnology Corp.*........... 2,655 ----------- 378,530 ----------- MEDIA -- 2.7% 800 Alloy, Inc.*..................... 4,480 3,500 Catalina Marketing Corp.*........ 53,165 1,300 Dow Jones & Co., Inc. ........... 61,555 3,300 Entravision Communications Corp., Class A*....................... 31,350 500 Fisher Communications, Inc.*..... 23,575 300 Interpublic Group of Cos, Inc. .......................... 4,236 1,100 Journal Register Corp.*.......... 20,625 900 Knight-Ridder, Inc. ............. 60,030 2,000 Lamar Advertising Corp.*......... 58,680 1,700 New York Times Co., Class A...... 73,882 700 R.H. Donnelley Corp.*............ 28,287 1,900 Readers Digest Association, Inc. .......................... 26,581 1,300 Salem Communications Corp., Class A*............................. 25,207 800 Scholastic Corp.*................ 23,032 3,200 Valassis Communications, Inc.*... 84,480 2,500 World Wrestling Federation Entertainment, Inc. ........... 25,050 ----------- 604,215 ----------- METALS -- 0.4% 100 Allegheny Technologies, Inc. .... 655 300 Castle & Co.*.................... 1,332 500 Century Aluminum Co.*............ 5,425 300 Lone Star Technologies, Inc.*.... 4,047 600 NS Group, Inc.*.................. 3,876 1,800 Nucor Corp. ..................... 82,584 ----------- 97,919 ----------- MISCELLANEOUS FINANCIAL -- 1.7% 1,200 BlackRock, Inc. ................. 58,800 11,700 Charles Schwab Corp. ............ 139,347 900 Eaton Vance Corp. ............... 30,132 3,200 Investment Technology Group, Inc.*.......................... 61,376 1,900 LaBranche & Co., Inc. ........... 27,740 1,500 National Processing, Inc.*....... 28,980 1,600 WP Stewart & Co. Ltd. ........... 33,440 ----------- 379,815 ----------- OFFICE MACHINERY -- 0.6% 9,079 Brocade Communications Systems, Inc.*.......................... 47,392 600 Echelon Corp.*................... 7,140 400 Fargo Electronics, Inc.*......... 5,040 300 General Binding Corp.*........... 3,120 600 Immersion Corp.*................. 3,738 1,400 InFocus Corp.*................... 6,804 1,200 McDATA Corp., Class B*........... 14,148 1,900 Pinnacle Systems, Inc.*.......... 16,017 900 Radware Ltd.*.................... 16,335 1,300 Xerox Corp.*..................... 13,338 ----------- 133,072 -----------
See accompanying notes to the financial statements. 93 AXA ROSENBERG GLOBAL LONG/SHORT EQUITY FUND SCHEDULE OF SECURITIES SOLD SHORT (CONTINUED) -- SEPTEMBER 30, 2003 (UNAUDITED) --------------------------------------------------------------------------------
SHARES VALUE ------ ----------- COMMON STOCKS (CONTINUED) OIL -- 0.1% 800 Plains Resources, Inc.*.......... $ 9,960 900 Spinnaker Exploration Co.*....... 21,600 ----------- 31,560 ----------- OIL DISTRIBUTION -- 0.9% 21,000 El Paso Corp. ................... 153,300 800 Frontier Oil Corp. .............. 11,760 1,400 Questar Corp. ................... 43,134 ----------- 208,194 ----------- OIL SERVICES -- 1.4% 1,500 BJ Services Co.*................. 51,255 1,100 Diamond Offshore Drilling, Inc. .......................... 21,010 800 Hydril Co.*...................... 16,208 2,000 National-Oilwell, Inc.*.......... 36,280 3,600 Noble Corp.*..................... 122,364 1,900 Rowan Cos., Inc.*................ 46,702 300 Smith International, Inc.*....... 10,794 ----------- 304,613 ----------- OTHER UTILITIES -- 1.6% 13,400 Waste Management, Inc. .......... 350,678 ----------- PAPER -- 1.1% 300 American Woodmark Corp. ......... 13,428 500 Avery Dennison Corp. ............ 25,260 1,300 Bowater, Inc. ................... 54,678 1,000 Caraustar Industries, Inc.*...... 8,730 5,200 Plum Creek Timber Co. ........... 132,288 600 Pope & Talbot, Inc. ............. 9,072 ----------- 243,456 ----------- REAL ESTATE DEVELOPMENT -- 0.5% 900 Florida East Coast Industries, Inc., Class A.................. 25,875 700 Forest City Enterprises, Inc., Class A........................ 30,625 1,400 St Joe Co. ...................... 44,912 500 Tejon Ranch Co.*................. 16,650 ----------- 118,062 ----------- REAL ESTATE INVESTMENT TRUSTS -- 2.1% 200 Alexander's, Inc.*............... 21,100 1,300 Avalonbay Communities, Inc. ..... 60,840 1,200 Camden Property Trust............ 46,116 800 CenterPoint Properties Trust..... 54,488 900 Chateau Communties, Inc. ........ 26,784 900 Glimcher Realty Trust............ 18,963 1,600 Health Care Property Investors, Inc. .......................... 74,720 3,000 Host Marriott Corp.*............. 32,190 1,400 Post Properties, Inc. ........... 38,122 1,500 Simon Property Group, Inc. ...... 65,370 1,100 United Dominion Realty Trust, Inc. .......................... 20,141 ----------- 458,834 ----------- RETAIL -- 6.9% 800 American Eagle Outfitters, Inc.*.......................... 11,888 1,900 Barnes & Noble, Inc.*............ 48,279 3,500 BJ's Wholesale Club, Inc.*....... 67,795 3,900 Caremark Rx, Inc.*............... 88,140 2,800 CDW Corp. ....................... 161,672 400 Charlotte Russe Holding, Inc.*... 4,116 1,000 Circuit City Stores, Inc. ....... 9,530
SHARES VALUE ------ ----------- COMMON STOCKS (CONTINUED) RETAIL (CONTINUED) 5,800 Copart, Inc.*.................... $ 62,640 300 Costco Wholesale Corp.*.......... 9,324 1,800 Dillards Department Stores, Inc. .......................... 25,164 1,300 Fastenal Co. .................... 49,140 400 Gadzooks, Inc.*.................. 1,962 800 Genesco, Inc.*................... 12,848 500 Ingles Markets, Inc., Class A.... 4,900 600 J. Jill Group, Inc.*............. 6,900 2,700 Kohl's Corp.*.................... 144,450 18,500 Kroger Co.*...................... 330,595 4,100 May Department Stores Co. ....... 100,983 100 Michaels Stores, Inc. ........... 4,076 900 Pathmark Stores, Inc.*........... 6,273 300 Pricesmart, Inc.*................ 1,950 700 Restoration Hardware, Inc.*...... 4,067 1,100 ShopKo Stores, Inc.*............. 16,500 1,600 TJX Cos., Inc. .................. 31,072 1,800 Too, Inc.*....................... 26,514 500 Ultimate Electronics, Inc.*...... 4,745 800 ValueVision International, Inc., Class A*....................... 12,728 4,800 Walgreen Co. .................... 147,072 1,100 Wet Seal, Inc.*.................. 11,055 1,000 Whole Foods Market, Inc.*........ 55,180 1,000 Wild Oats Markets, Inc.*......... 10,930 500 Wilsons The Leather Experts, Inc.*.......................... 3,995 2,200 Winn-Dixie Stores, Inc. ......... 21,230 ----------- 1,497,713 ----------- SERVICES -- 3.5% 2,500 Albany Molecular Research, Inc.*.......................... 37,025 600 Amn Healthcare Services, Inc.*... 9,744 700 Applied Molecular Evolution, Inc.*.......................... 5,992 800 Arena Pharmaceuticals, Inc.*..... 5,760 2,600 Ceridian Corp.*.................. 48,412 1,400 Charles River Laboratories International, Inc.*........... 42,966 3,700 ChoicePoint, Inc.*............... 123,950 100 Clark, Inc.*..................... 1,334 2,600 Convergys Corp.*................. 47,684 41 CuraGen Corp.*................... 206 4,700 DeVry, Inc.*..................... 111,202 1,200 Exact Sciences Corp.*............ 16,200 1,900 Exelixis, Inc.*.................. 13,566 600 ICT Group, Inc.*................. 6,426 200 IMS Health, Inc. ................ 4,220 800 Jones Lang LaSalle, Inc.*........ 14,800 500 Kendle International, Inc.*...... 2,739 1,400 Learning Tree International, Inc.*.......................... 23,478 900 Maxygen, Inc.*................... 9,180 300 NetRatings, Inc.*................ 2,800 600 On Assignment, Inc.*............. 3,168 600 Princeton Review, Inc.*.......... 3,858 1,200 Regeneron Pharmaceutical, Inc.*.......................... 21,204 1,000 Resources Connection, Inc.*...... 24,408 4,500 Robert Half International, Inc.*.......................... 87,750 2,300 Sotheby's Holdings, Inc., Class A*............................. 24,886 600 SOURCECORP*...................... 13,950 300 SRI Surgical Express, Inc.*...... 2,265
See accompanying notes to the financial statements. 94 AXA ROSENBERG GLOBAL LONG/SHORT EQUITY FUND SCHEDULE OF SECURITIES SOLD SHORT (CONTINUED) -- SEPTEMBER 30, 2003 (UNAUDITED) --------------------------------------------------------------------------------
SHARES VALUE ------ ----------- COMMON STOCKS (CONTINUED) SERVICES (CONTINUED) 900 Symyx Technologies, Inc.*........ $ 19,386 1,100 Weight Watchers International, Inc.*.......................... 45,760 ----------- 774,319 ----------- SOAP & COSMETICS -- 0.6% 1,000 Church & Dwight Co., Inc. ....... 34,990 3,100 Ecolab, Inc. .................... 78,275 700 Elizabeth Arden, Inc.*........... 11,536 1,200 Playtex Products, Inc.*.......... 7,152 ----------- 131,953 ----------- SOFTWARE -- 6.7% 4,800 Activision, Inc.*................ 57,360 2,200 Acxiom Corp.*.................... 34,672 1,200 Advent Software, Inc.*........... 19,308 1,700 Affiliated Computer Services, Inc., Class A*................. 82,773 400 Anteon International Corp.*...... 12,240 5,700 Automatic Data Processing, Inc. .......................... 204,345 800 BARRA, Inc.*..................... 30,040 3,400 BMC Software, Inc.*.............. 47,362 2,900 Cadence Design Systems, Inc.*.... 38,860 900 CCC Information Services Group, Inc.*.......................... 15,084 200 Computer Programs & System, Inc. .......................... 3,606 500 Digimarc Corp.*.................. 7,355 4,700 DoubleClick, Inc.*............... 50,619 1,800 DST Systems, Inc.*............... 67,680 300 Dynamics Research Co.*........... 5,730 4,400 Electronic Data Systems Corp. ... 88,880 1,800 Fiserv, Inc.*.................... 65,214 5,600 Identix, Inc.*................... 29,288 900 Information Holdings, Inc.*...... 18,027 600 Inforte Corp.*................... 5,040 1,300 Intuit, Inc.*.................... 62,712 4,000 Jack Henry & Associates, Inc. ... 69,560 100 Lawson Software, Inc.*........... 709 500 Manhattan Associates, Inc.*...... 12,945 500 Mantech International Corp., Class A*....................... 12,440 1,800 MatrixOne, Inc.*................. 8,874 900 Mercury Computer Systems, Inc.*.......................... 19,197 1,700 Mercury Interactive Corp.*....... 77,197 600 MSC.Software Corp.*.............. 4,320 900 Nassda Corp.*.................... 7,083 203 Network Associates, Inc.*........ 2,793 400 NYFIX, Inc.*..................... 2,240 14 OneSource Information Systems, Inc.*.......................... 120 500 Pec Solutions, Inc.*............. 7,380 1,000 Pegasystems, Inc.*............... 7,300 2,600 Perot Systems Corp., Class A*.... 26,000 800 Phoenix Technologies Ltd.*....... 5,016 400 PLATO Learning, Inc.*............ 3,084 200 ProxyMed, Inc.*.................. 3,004 700 QRS Corp.*....................... 5,950 2,200 Red Hat, Inc.*................... 22,220 1,800 Sabre Holdings Corp. ............ 38,682 3,800 SunGard Data Systems, Inc.*...... 99,978 300 Synplicity, Inc.*................ 1,770 2,500 THQ, Inc.*....................... 41,050 300 Tripos, Inc.*.................... 2,541
SHARES VALUE ------ ----------- COMMON STOCKS (CONTINUED) SOFTWARE (CONTINUED) 1,100 TriZetto Group, Inc.*............ $ 7,370 1,300 VitalWorks, Inc.*................ 6,825 964 WatchGuard Technolgies, Inc.*.... 5,157 1,500 Webmethods, Inc.*................ 11,970 700 Websense, Inc.*.................. 14,889 900 Witness Systems, Inc.*........... 4,167 ----------- 1,478,026 ----------- TELEPHONE -- 2.3% 2,100 Cablevision Systems Corp., Class A*............................. 38,010 900 L-3 Communications Holdings, Inc.*.......................... 38,925 4,100 Level 3 Communications, Inc.*.... 22,222 1,100 LodgeNet Entertainment Corp.*.... 17,050 100 Metro One Telecommunications, Inc.*.......................... 348 500 NTL, Inc.*....................... 23,560 1,500 Overture Services, Inc.*......... 39,735 4,300 SBC Communications, Inc. ........ 95,675 7,100 Verizon Communications, Inc. .... 230,324 ----------- 505,849 ----------- TEXTILES -- 0.9% 4,900 Cintas Corp. .................... 180,516 300 Guess?, Inc.*.................... 2,670 400 OshKosh B'Gosh, Inc., Class A.... 10,288 2,000 Skechers U.S.A., Inc., Class A*............................. 14,840 200 Tropical Sportswear International Corp.*......................... 910 ----------- 209,224 ----------- TRANSPORTATION -- 2.1% 2,200 Kansas City Southern Industries, Inc.*.......................... 24,354 7,000 United Parcel Service, Inc., Class B........................ 446,600 ----------- 470,954 ----------- TRAVEL & ENTERTAINMENT -- 3.0% 500 Ameristar Casinos, Inc.*......... 12,520 1,000 ARAMARK Corp., Class B*.......... 25,030 400 Argosy Gaming Co.*............... 9,760 400 Champps Entertainment, Inc.*..... 2,648 1,600 Cheesecake Factory, Inc.*........ 57,872 2,000 CKE Restaurants, Inc.*........... 12,900 2,600 Darden Restaurants, Inc. ........ 49,400 2,700 Extended Stay America, Inc.*..... 40,311 1,400 Harrah's Entertainment, Inc. .... 58,954 8,600 Hilton Hotels Corp. ............. 139,492 3,200 Krispy Kreme Doughnuts, Inc.*.... 123,200 1,400 MGM MIRAGE*...................... 51,170 300 Peet's Coffee & Tea, Inc.*....... 5,865 500 Penn National Gaming, Inc.*...... 10,660 3,000 Six Flags, Inc.*................. 15,780 1,500 Westwood One, Inc.*.............. 45,285 ----------- 660,847 ----------- WHOLESALE -- 1.7% 1,000 AAR Corp.*....................... 8,020 500 Advanced Marketing Services, Inc. .......................... 5,110 200 AmerisourceBergen Corp. ......... 10,810 3,400 Arrow Electronics, Inc.*......... 62,526 300 Cantel Medical Corp.*............ 4,002 2,500 Cardinal Health, Inc. ........... 145,975 400 NuCo2, Inc.*..................... 4,408
See accompanying notes to the financial statements. 95 AXA ROSENBERG GLOBAL LONG/SHORT EQUITY FUND SCHEDULE OF SECURITIES SOLD SHORT (CONTINUED) -- SEPTEMBER 30, 2003 (UNAUDITED) --------------------------------------------------------------------------------
SHARES VALUE ------ ----------- COMMON STOCKS (CONTINUED) WHOLESALE (CONTINUED) 1,700 Patterson Dental Co.*............ $ 97,886 1,300 Priority Healthcare Corp., Class B*............................. 26,702 ----------- 365,439 ----------- TOTAL SECURITIES SOLD SHORT (PROCEEDS $17,909,581) 87.4%... $19,332,986 ===========
--------------- * Non-income producing security. See accompanying notes to the financial statements. 96 (This page intentionally left blank) 97 STATEMENTS OF ASSETS AND LIABILITIES SEPTEMBER 30, 2003 (UNAUDITED) --------------------------------------------------------------------------------
AXA ROSENBERG AXA ROSENBERG U.S. SMALL AXA ROSENBERG U.S. LARGE CAPITALIZATION U.S. DISCOVERY CAPITALIZATION FUND FUND FUND -------------- -------------- -------------- ASSETS: Investments, at cost*................... $790,079,639 $41,309,255 $36,471,619 ============ =========== =========== Investments, at value*.................. $965,754,628 $49,142,445 $37,576,065 Deposits with broker and custodian bank for securities sold short.............. -- -- -- Repurchase agreements, at cost.......... 17,906,000 -- -- Cash.................................... 5,861 -- 36,640 Foreign currency, at value**............ -- -- -- Dividends and interest receivable....... 809,510 36,731 17,104 Receivable for capital shares issued.... 78,771 118 -- Receivable for securities sold short.... -- -- -- Receivable for investments sold......... 9,253,910 464,082 690,935 Receivable for foreign currency contracts.............................. -- -- -- Reclaims receivable..................... -- -- -- Receivable from Manager................. -- -- 38,948 Prepaid expenses........................ 54,171 12,532 13,907 ------------ ----------- ----------- Total Assets........................... 993,862,851 49,655,908 38,373,599 ------------ ----------- ----------- LIABILITIES: Securities sold short, proceeds......... $ -- $ -- $ -- ============ =========== =========== Securities sold short................... $ -- $ -- $ -- Payable to custodian.................... -- 156,339 -- Payable for investments purchased....... 11,918,281 217,974 731,371 Payable for foreign currency contracts.. -- -- -- Payable to cover securities sold short.. -- -- -- Payable for capital shares redeemed..... 54,817 -- -- Payable for return of collateral received for securities on loan........ 25,684,030 -- -- Accrued expenses and other liabilities: Manager fees........................... 722,967 14,987 -- Distribution fees...................... 49,243 1,329 176 Other accrued expenses................. 410,391 18,895 57,416 ------------ ----------- ----------- Total Liabilities...................... 38,839,729 409,524 788,963 ------------ ----------- ----------- NET ASSETS.............................. $955,023,122 $49,246,384 $37,584,636 ============ =========== =========== NET ASSETS CONSIST OF: Capital................................. $770,418,694 $40,946,608 $37,739,704 Accumulated net investment income/(loss).......................... 1,797,129 120,877 61,902 Accumulated net realized gains/(losses) on investments and securities sold short.................................. 7,132,310 345,709 (1,321,416) Net unrealized appreciation/(depreciation) on foreign currency transactions.................. -- -- -- Net unrealized appreciation/(depreciation) on short sales.................................. -- -- -- Net unrealized appreciation/(depreciation) on investments............................ 175,674,989 7,833,190 1,104,446 ------------ ----------- ----------- NET ASSETS.............................. $955,023,122 $49,246,384 $37,584,636 ============ =========== =========== INSTITUTIONAL SHARES: Net Assets.............................. $721,300,574 $46,265,490 $37,196,847 Shares Outstanding...................... 63,324,539 3,804,130 3,907,160 Net Asset Value, Offering Price and Redemption Price per Share............. $ 11.39 $ 12.16 $ 9.52 ============ =========== =========== ADVISER SHARES: Net Assets.............................. $ 34,741,156 $ -- $ -- Shares Outstanding...................... 3,075,843 -- -- Net Asset Value, Offering Price and Redemption Price per Share............. $ 11.29 $ -- $ -- ============ =========== =========== INVESTOR SHARES: Net Assets.............................. $198,981,392 $ 222,090 $ 96,195 Shares Outstanding...................... 17,682,310 18,352 10,089 Net Asset Value, Offering Price and Redemption Price per Share............. $ 11.25 $ 12.10 $ 9.53 ============ =========== =========== CLASS A SHARES: Net Assets.............................. $ -- $ 2,468,491 $ 199,362 Shares Outstanding...................... -- 204,782 21,008 Net Asset Value and Redemption Price per Share.................................. $ -- $ 12.05 $ 9.49 ============ =========== =========== 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).................................. $ -- $ 12.75 $ 10.04 ============ =========== =========== CLASS B SHARES: Net Assets.............................. $ -- $ 290,313 $ 92,232 Shares Outstanding...................... -- 24,320 9,764 Net Asset Value and Offering Price per Share***............................... $ -- $ 11.94 $ 9.45 ============ =========== =========== CLASS C SHARES: Net Assets.............................. $ -- $ -- $ -- Shares Outstanding...................... -- -- -- Net Asset Value and Offering Price per Share***............................... $ -- $ -- $ -- ============ =========== =========== Class C Shares -- Maximum Sales Charge.. -- -- -- ------------ ----------- ----------- Maximum Offering Price Per Share (100%/(100% -- Maximum Sales Charge) of net asset value adjusted to the nearest cent).................................. $ -- $ -- $ -- ============ =========== ===========
--------------- * Includes securities on loan of $25,436,730 for the AXA Rosenberg U.S. Small Capitalization Fund. ** Foreign currency at cost for AXA Rosenberg International Equity Fund, AXA Rosenberg International Small Capitalization Fund, and AXA Rosenberg European Fund was $188,996, $1,233,664 and $79,156, respectively. *** Redemption price per share varies by the length of time that the shares are held.
See accompanying notes to the financial statements. 98 --------------------------------------------------------------------------------
AXA ROSENBERG AXA ROSENBERG AXA ROSENBERG INTERNATIONAL INTERNATIONAL AXA ROSENBERG ENHANCED EQUITY SMALL CAPITALIZATION EUROPEAN 500 FUND FUND FUND FUND ------------- ------------- -------------------- ------------- ASSETS: Investments, at cost.................... $ 5,872,784 $ 7,776,306 $64,481,554 $ 6,433,631 =========== =========== =========== =========== Investments, at value *................. $ 5,746,849 $ 8,528,613 $76,701,302 $ 7,060,939 Deposits with broker and custodian bank for securities sold short.............. -- -- -- -- Repurchase agreements, at cost.......... 99,255 -- 5,722,000 -- Cash.................................... -- 68,201 623 -- Foreign currency, at value **........... -- 189,640 1,263,335 81,038 Dividends and interest receivable....... 6,509 24,833 152,235 19,321 Receivable for capital shares issued.... -- -- 91,997 -- Receivable for securities sold short.... -- -- -- -- Receivable for investments sold......... 47,886 213,624 62,229 1,706 Receivable for foreign currency contracts.............................. -- -- 29 -- Reclaims receivable..................... -- 6,413 39,362 9,139 Receivable from Manager................. 13,362 38,972 35 27,279 Prepaid expenses........................ 18,855 9,327 16,987 14,513 ----------- ----------- ----------- ----------- Total Assets........................... 5,932,716 9,079,623 84,050,134 7,213,935 ----------- ----------- ----------- ----------- LIABILITIES: Securities sold short proceeds.......... $ -- $ -- $ -- $ -- =========== =========== =========== =========== Securities sold short................... $ -- $ -- $ -- $ -- Payable to custodian.................... -- -- -- 15,948 Payable for investments purchased....... 45,719 38,193 1,051,052 5,960 Payable for foreign currency contracts.............................. -- 5,059 -- -- Payable to cover securities sold short.................................. -- -- -- -- Payable for capital shares redeemed..... -- -- 2,667 -- Payable for return of collateral received for securities on loan........ -- -- -- -- ACCRUED EXPENSES AND OTHER LIABILITIES: Manager fees........................... -- -- -- -- Distribution fees...................... 869 239 7,504 8 Other accrued expenses................. -- 14,612 54,535 2,928 ----------- ----------- ----------- ----------- Total Liabilities...................... 46,588 58,103 1,115,758 24,844 ----------- ----------- ----------- ----------- NET ASSETS.............................. $ 5,886,128 $ 9,021,520 $82,934,376 $ 7,189,091 =========== =========== =========== =========== NET ASSETS CONSIST OF: Capital................................. $ 7,383,801 $12,432,922 $75,608,277 $ 7,660,785 Accumulated net investment income/(loss).......................... 29,165 109,990 664,878 126,221 Accumulated net realized gains/(losses) on investments and securities sold short.................................. (1,400,903) (4,272,537) (5,593,510) (1,228,275) Net unrealized appreciation/(depreciation) on foreign currency transactions.................. -- (1,162) 34,983 3,052 Net unrealized appreciation/(depreciation) on short sales.................................. -- -- -- -- Net unrealized appreciation/(depreciation) on investments............................ (125,935) 752,307 12,219,748 627,308 ----------- ----------- ----------- ----------- NET ASSETS.............................. $ 5,886,128 $ 9,021,520 $82,934,376 $ 7,189,091 =========== =========== =========== =========== INSTITUTIONAL SHARES: Net Assets.............................. $ 4,014,410 $ 8,099,999 $43,798,348 $ 7,176,614 Shares Outstanding...................... 579,955 1,151,937 3,916,262 768,818 Net Asset Value, Offering Price and Redemption Price per Share............. $ 6.92 $ 7.03 $ 11.18 $ 9.33 =========== =========== =========== =========== ADVISER SHARES: Net Assets.............................. $ -- $ -- $ -- $ -- Shares Outstanding...................... -- -- -- -- Net Asset Value, Offering Price and Redemption Price per Share............. $ -- $ -- $ -- $ -- =========== =========== =========== =========== INVESTOR SHARES: Net Assets.............................. $ 14,839 $ 785,353 $38,576,797 $ -- Shares Outstanding...................... 2,125 111,543 3,475,095 -- Net Asset Value, Offering Price and Redemption Price per Share............. $ 6.98 $ 7.04 $ 11.10 $ -- =========== =========== =========== =========== CLASS A SHARES: Net Assets.............................. $ 1,285,630 $ 123,050 $ 479,507 $ 8,752 Shares Outstanding...................... 187,485 17,631 43,157 942 Net Asset Value and Redemption Price per Share.................................. $ 6.86 $ 6.98 $ 11.11 $ 9.29 =========== =========== =========== =========== Class A Shares -- Maximum Sales Charge................................. 3.00% 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).................................. $ 7.07 $ 7.39 $ 11.76 $ 9.83 =========== =========== =========== =========== CLASS B SHARES: Net Assets.............................. $ 571,249 $ 13,118 $ 79,724 $ 3,725 Shares Outstanding...................... 83,861 1,892 7,227 403 Net Asset Value and Offering Price per Share ***.............................. $ 6.81 $ 6.93 $ 11.03 $ 9.24 =========== =========== =========== =========== CLASS C SHARES: Net Assets.............................. $ -- $ -- $ -- $ -- Shares Outstanding...................... -- -- -- -- Net Asset Value and Offering Price per Share ***.............................. $ -- $ -- $ -- $ -- =========== =========== =========== =========== Class C Shares -- Maximum Sales Charge................................. -- -- -- -- ----------- ----------- ----------- ----------- Maximum Offering Price Per Share (100%/(100% -- Maximum Sales Charge) of net asset value adjusted to the nearest cent).................................. $ -- $ -- $ -- $ -- =========== =========== =========== =========== AXA ROSENBERG AXA ROSENBERG AXA ROSENBERG U.S. LARGE/MID VALUE LONG/ GLOBAL LONG/ CAPITALIZATION LONG/ SHORT EQUITY SHORT EQUITY SHORT EQUITY FUND FUND FUND -------------------- ------------- ------------- ASSETS: Investments, at cost.................... $26,839,968 $ 75,060,207 $16,301,540 =========== ============ =========== Investments, at value *................. $30,118,301 $ 99,960,115 $20,049,684 Deposits with broker and custodian bank for securities sold short.............. 30,469,422 96,907,051 19,332,611 Repurchase agreements, at cost.......... 4,666,467 8,919,687 2,408,330 Cash.................................... -- -- -- Foreign currency, at value **........... -- -- -- Dividends and interest receivable....... 36,449 90,266 17,644 Receivable for capital shares issued.... 4,000 15,550 12,550 Receivable for securities sold short.... -- 2,585,248 108,757 Receivable for investments sold......... 537,414 743,040 339,706 Receivable for foreign currency contracts.............................. -- -- -- Reclaims receivable..................... -- -- -- Receivable from Manager................. -- -- -- Prepaid expenses........................ 28,065 29,791 21,309 ----------- ------------ ----------- Total Assets........................... 65,860,118 209,250,748 42,290,591 ----------- ------------ ----------- LIABILITIES: Securities sold short proceeds.......... $27,178,740 $ 96,406,174 $17,909,581 =========== ============ =========== Securities sold short................... $29,635,406 $ 98,587,543 $19,332,986 Payable to custodian.................... -- -- -- Payable for investments purchased....... 966,393 1,266,053 694,653 Payable for foreign currency contracts.............................. -- -- -- Payable to cover securities sold short.................................. 559,819 487,685 110,085 Payable for capital shares redeemed..... 7,622 2,093 -- Payable for return of collateral received for securities on loan........ -- -- -- ACCRUED EXPENSES AND OTHER LIABILITIES: Manager fees........................... 15,656 126,372 16,807 Distribution fees...................... 2,423 7,020 2,205 Other accrued expenses................. 65,079 181,819 21,262 ----------- ------------ ----------- Total Liabilities...................... 31,252,398 100,658,585 20,177,998 ----------- ------------ ----------- NET ASSETS.............................. $34,607,720 $108,592,163 $22,112,593 =========== ============ =========== NET ASSETS CONSIST OF: Capital................................. $37,162,118 $153,414,954 $22,965,414 Accumulated net investment income/(loss).......................... (131,284) (242,828) (121,382) Accumulated net realized gains/(losses) on investments and securities sold short.................................. (3,244,781) (67,298,502) (3,056,178) Net unrealized appreciation/(depreciation) on foreign currency transactions.................. -- -- -- Net unrealized appreciation/(depreciation) on short sales.................................. (2,456,666) (2,181,369) (1,423,405) Net unrealized appreciation/(depreciation) on investments............................ 3,278,333 24,899,908 3,748,144 ----------- ------------ ----------- NET ASSETS.............................. $34,607,720 $108,592,163 $22,112,593 =========== ============ =========== INSTITUTIONAL SHARES: Net Assets.............................. $24,776,870 $ 82,991,473 $12,282,340 Shares Outstanding...................... 2,337,886 8,686,371 1,106,606 Net Asset Value, Offering Price and Redemption Price per Share............. $ 10.60 $ 9.55 $ 11.10 =========== ============ =========== ADVISER SHARES: Net Assets.............................. $ -- $ -- $ -- Shares Outstanding...................... -- -- -- Net Asset Value, Offering Price and Redemption Price per Share............. $ -- $ -- $ -- =========== ============ =========== INVESTOR SHARES: Net Assets.............................. $ 8,894,794 $ 22,849,345 $ 9,089,733 Shares Outstanding...................... 833,115 2,404,565 823,735 Net Asset Value, Offering Price and Redemption Price per Share............. $ 10.68 $ 9.50 $ 11.03 =========== ============ =========== CLASS A SHARES: Net Assets.............................. $ 545,750 $ 1,397,747 $ 476,541 Shares Outstanding...................... 51,886 147,592 43,292 Net Asset Value and Redemption Price per Share.................................. $ 10.52 $ 9.47 $ 11.01 =========== ============ =========== 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).................................. $ 11.13 $ 10.02 $ 11.65 =========== ============ =========== CLASS B SHARES: Net Assets.............................. $ 149,164 $ 636,101 $ 180,660 Shares Outstanding...................... 14,278 67,745 16,577 Net Asset Value and Offering Price per Share ***.............................. $ 10.45 $ 9.39 $ 10.90 =========== ============ =========== CLASS C SHARES: Net Assets.............................. $ 241,142 $ 717,497 $ 83,319 Shares Outstanding...................... 23,053 76,284 7,630 Net Asset Value and Offering Price per Share ***.............................. $ 10.46 $ 9.41 $ 10.92 =========== ============ =========== Class C Shares -- Maximum Sales Charge................................. 1.00% 1.00% 1.00% ----------- ------------ ----------- Maximum Offering Price Per Share (100%/(100% -- Maximum Sales Charge) of net asset value adjusted to the nearest cent).................................. $ 10.57 $ 9.51 $ 11.03 =========== ============ ===========
99 STATEMENTS OF OPERATIONS FOR THE SIX MONTHS ENDED SEPTEMBER 30, 2003 (UNAUDITED) --------------------------------------------------------------------------------
AXA AXA AXA ROSENBERG ROSENBERG ROSENBERG U.S. SMALL U.S. U.S. LARGE CAPITALIZATION DISCOVERY CAPITALIZATION FUND FUND FUND -------------- -------------- -------------- INVESTMENT INCOME: Dividends *............................ $ 6,570,882 $ 340,502 $ 144,068 Interest............................... 21,618 713 295 Securities lending..................... 249,305 -- -- ------------ ---------- ---------- Total Investment Income................ 6,841,805 341,215 144,363 ------------ ---------- ---------- EXPENSES: Manager fees........................... 3,700,042 173,597 74,926 Administration fees.................... 295,646 13,715 7,008 Distribution fees (Investor Shares).... 215,882 280 188 Distribution fees (Class A Shares)..... -- 5,403 396 Distribution fees (Class B Shares)..... -- 1,114 300 Distribution fees (Class C Shares)..... -- -- -- Service fees (Adviser Shares).......... 39,111 -- -- Professional fees...................... 197,009 8,660 7,014 Custodian fees......................... 149,268 58,393 49,245 Fund accounting fees................... 36,870 44,325 53,935 Registration and filing fees........... 23,095 9,549 13,273 Transfer agent fees.................... 136,084 6,619 10,620 Trustees' fees......................... 71,724 3,260 3,079 Dividend expense for securities sold short.................................. -- -- -- Other expenses......................... 131,408 8,581 8,252 Recoupment of prior expenses reimbursed by the Manager......................... 48,537 -- -- ------------ ---------- ---------- Total expenses before waivers/reimbursements................. 5,044,676 333,496 228,236 Less expenses waived/reimbursed by the Manager................................ -- (104,754) (127,387) ------------ ---------- ---------- Net Expenses........................... 5,044,676 228,742 100,849 ------------ ---------- ---------- NET INVESTMENT INCOME/(LOSS)........... 1,797,129 112,473 43,514 ------------ ---------- ---------- NET REALIZED GAINS/(LOSSES) FROM: Investments............................ 38,409,358 1,009,906 88,676 Foreign currency transactions.......... -- -- -- Securities sold short.................. -- -- -- CHANGE IN UNREALIZED APPRECIATION/(DEPRECIATION) FROM: Investments............................ 142,047,840 6,922,717 1,895,006 Foreign currency transactions.......... -- -- -- Securities sold short.................. -- -- -- ------------ ---------- ---------- NET REALIZED AND UNREALIZED GAINS/(LOSSES) ON INVESTMENTS, FOREIGN CURRENCY TRANSACTIONS AND SECURITIES SOLD SHORT............................. 180,457,198 7,932,623 1,983,682 ------------ ---------- ---------- CHANGE IN NET ASSETS RESULTING FROM OPERATIONS............................. $182,254,327 $8,045,096 $2,027,196 ============ ========== ==========
--------------- * Net of foreign withholding tax for AXA Rosenberg International Equity Fund, AXA Rosenberg International Small Capitalization Fund, and AXA Rosenberg European Fund was $15,533, $126,366 and $19,332, respectively. See accompanying notes to the financial statements. 100 --------------------------------------------------------------------------------
AXA AXA AXA ROSENBERG ROSENBERG AXA ROSENBERG INTERNATIONAL AXA U.S. LARGE/MID ROSENBERG INTERNATIONAL SMALL ROSENBERG CAPITALIZATION ENHANCED 500 EQUITY CAPITALIZATION EUROPEAN LONG/SHORT FUND FUND FUND FUND EQUITY FUND ------------ ------------- -------------- --------------- -------------- INVESTMENT INCOME: Dividends *.......................... $ 42,115 $ 130,238 $ 914,730 $ 142,716 $ 282,177 Interest............................... 379 95 2,005 -- 177,216 Securities lending..................... -- -- -- -- -- -------- ---------- ----------- --------------- ----------- Total Investment Income................ 42,494 130,333 916,735 142,716 459,393 -------- ---------- ----------- --------------- ----------- EXPENSES: Manager fees........................... 12,708 34,577 286,166 25,643 199,999 Administration fees.................... 1,837 2,940 20,339 2,479 14,760 Distribution fees (Investor Shares).... 2 535 32,236 -- 17,016 Distribution fees (Class A Shares)..... 2,686 238 520 21 1,289 Distribution fees (Class B Shares)..... 595 56 224 19 674 Distribution fees (Class C Shares)..... -- -- -- -- 950 Service fees (Adviser Shares).......... -- -- -- -- -- Professional fees...................... 1,368 3,090 6,403 1,450 8,099 Custodian fees......................... 936 82,484 251,316 55,795 12,318 Fund accounting fees................... 34,459 42,420 49,697 35,448 38,291 Registration and filing fees........... 8,124 7,564 12,573 11,836 22,970 Transfer agent fees.................... 6,495 7,368 12,674 5,820 13,508 Trustees' fees......................... 635 1,713 4,105 574 3,038 Dividend expense for securities sold short.................................. -- -- -- -- 318,462 Other expenses......................... 3,075 3,662 14,554 3,171 8,412 Recoupment of prior expenses reimbursed by the Manager......................... -- -- -- -- -- -------- ---------- ----------- --------------- ----------- Total expenses before waivers/reimbursements................. 72,920 186,647 690,807 142,256 659,786 Less expenses waived/reimbursed by the Manager................................ (50,558) (130,848) (224,923) (99,435) (69,109) -------- ---------- ----------- --------------- ----------- Net Expenses........................... 22,362 55,799 465,884 42,821 590,677 -------- ---------- ----------- --------------- ----------- NET INVESTMENT INCOME/(LOSS)............ 20,132 74,534 450,851 99,895 (131,284) -------- ---------- ----------- --------------- ----------- NET REALIZED GAINS/(LOSSES) FROM: Investments............................ (25,822) (69,817) 3,225,504 (63,548) 3,561,288 Foreign currency transactions.......... -- 8,068 68,961 2,390 -- Securities sold short.................. -- -- -- -- (5,210,738) CHANGE IN UNREALIZED APPRECIATION/(DEPRECIATION) FROM: Investments............................ 701,324 1,767,584 14,904,208 1,488,920 2,632,138 Foreign currency transactions.......... -- (1,849) (7,833) 6,406 -- Securities sold short.................. -- -- -- -- (4,312,847) -------- ---------- ----------- --------------- ----------- Net Realized and Unrealized Gains/(Losses) on Investments, Foreign Currency Transactions and Securities Sold Short............................. 675,502 1,703,986 18,190,840 1,434,168 (3,330,159) -------- ---------- ----------- --------------- ----------- CHANGE IN NET ASSETS RESULTING FROM OPERATIONS............................. $695,634 $1,778,520 $18,641,691 $ 1,534,063 $(3,461,443) ======== ========== =========== =============== =========== AXA AXA ROSENBERG ROSENBERG VALUE GLOBAL LONG/SHORT LONG/SHORT EQUITY FUND EQUITY FUND -------------- ----------------- INVESTMENT INCOME: Dividends *.......................... $ 977,832 $ 120,628 Interest............................... 496,620 95,187 Securities lending..................... -- -- -------------- ----------- Total Investment Income................ 1,474,452 215,815 -------------- ----------- EXPENSES: Manager fees........................... 923,647 172,493 Administration fees.................... 45,319 8,425 Distribution fees (Investor Shares).... 41,263 12,054 Distribution fees (Class A Shares)..... 4,858 911 Distribution fees (Class B Shares)..... 6,265 898 Distribution fees (Class C Shares)..... 2,365 416 Service fees (Adviser Shares).......... -- -- Professional fees...................... 24,326 3,432 Custodian fees......................... 29,342 6,615 Fund accounting fees................... 63,768 51,211 Registration and filing fees........... 22,941 17,686 Transfer agent fees.................... 34,819 11,536 Trustees' fees......................... 10,021 1,236 Dividend expense for securities sold short.................................. 578,757 133,171 Other expenses......................... 21,589 5,544 Recoupment of prior expenses reimbursed by the Manager......................... -- -- -------------- ----------- Total expenses before waivers/reimbursements................. 1,809,280 425,628 Less expenses waived/reimbursed by the Manager................................ (92,000) (88,431) -------------- ----------- Net Expenses........................... 1,717,280 337,197 -------------- ----------- NET INVESTMENT INCOME/(LOSS)............ (242,828) (121,382) -------------- ----------- NET REALIZED GAINS/(LOSSES) FROM: Investments............................ (23,612,271) 1,935,421 Foreign currency transactions.......... -- -- Securities sold short.................. 8,724,692 (3,565,408) CHANGE IN UNREALIZED APPRECIATION/(DEPRECIATION) FROM: Investments............................ 19,436,524 2,710,109 Foreign currency transactions.......... -- -- Securities sold short.................. (16,260,521) (2,561,788) -------------- ----------- Net Realized and Unrealized Gains/(Losses) on Investments, Foreign Currency Transactions and Securities Sold Short............................. (11,711,576) (1,481,666) -------------- ----------- CHANGE IN NET ASSETS RESULTING FROM OPERATIONS............................. $(11,954,404 ) $(1,603,048) ============== ===========
101 STATEMENTS OF CHANGES IN NET ASSETS --------------------------------------------------------------------------------
AXA ROSENBERG U.S. SMALL AXA ROSENBERG CAPITALIZATION FUND U.S. DISCOVERY FUND ------------------------------------ ------------------------------- SIX MONTHS ENDED YEAR ENDED SIX MONTHS ENDED YEAR ENDED SEPTEMBER 30, MARCH 31, SEPTEMBER 30, MARCH 31, 2003* 2003 2003* 2003 ---------------- ---------------- ---------------- ----------- INVESTMENT ACTIVITIES: OPERATIONS: Net investment income/(loss)........... $ 1,797,129 $ 1,527,091 $ 112,473 $ 30,727 Net realized gains/(losses) from: Investments............................ 38,409,358 (30,304,213) 1,009,906 (541,866) Foreign currency transactions.......... -- -- -- -- Change in unrealized appreciation/(depreciation) from: Investments............................ 142,047,840 (84,417,134) 6,922,717 455,776 Foreign currency transactions.......... -- -- -- -- ------------ ------------- ----------- ----------- Change in net assets resulting from operations............................. 182,254,327 (113,194,256) 8,045,096 (55,363) ------------ ------------- ----------- ----------- DIVIDENDS TO SHAREHOLDERS FROM: Net investment income Institutional Shares................... -- (1,356,926) -- (21,919) Adviser Shares......................... -- (50,408) -- -- Investor Shares........................ -- (132,067) -- -- Class A Shares......................... -- -- -- (1,083) Class B Shares......................... -- -- -- -- ------------ ------------- ----------- ----------- -- (1,539,401) -- (23,002) ------------ ------------- ----------- ----------- Net realized gains on investments Institutional Shares................... -- (13,360,500) -- -- Adviser Shares......................... -- (689,295) -- -- Investor Shares........................ -- (3,810,737) -- -- ------------ ------------- ----------- ----------- -- (17,860,532) -- -- ------------ ------------- ----------- ----------- Change in net assets resulting from dividends.............................. -- (19,399,933) -- (23,002) ------------ ------------- ----------- ----------- CAPITAL TRANSACTIONS: Proceeds from shares issued Institutional Shares................... 141,603,425 203,630,683 21,292,485 17,635,651 Adviser Shares......................... 7,978,028 22,546,760 -- -- Investor Shares........................ 40,468,575 114,212,797 404,222 490,830 Class A Shares......................... -- -- 445,256 2,256,477 Class B Shares......................... -- -- 94,661 105,800 ------------ ------------- ----------- ----------- 190,050,028 340,390,240 22,236,624 20,488,758 ------------ ------------- ----------- ----------- Dividends reinvested Institutional Shares................... -- 14,008,771 -- 5,572 Adviser Shares......................... -- 587,088 -- -- Investor Shares........................ -- 3,710,726 -- -- Class A Shares......................... -- -- -- 1,076 Class B Shares......................... -- -- -- -- ------------ ------------- ----------- ----------- -- 18,306,585 -- 6,648 ------------ ------------- ----------- ----------- Cost of shares redeemed Institutional Shares................... (44,357,504) (111,387,624) (1,091,467) (2,146,307) Adviser Shares......................... (6,327,357) (10,002,238) -- -- Investor Shares........................ (15,882,494) (63,775,926) (325,099) (451,560) Class A Shares......................... -- -- (196,204) (405,833) Class B Shares......................... -- -- (2,636) -- ------------ ------------- ----------- ----------- (66,567,355) (185,165,788) (1,615,406) (3,003,700) ------------ ------------- ----------- ----------- Change in net assets from capital transactions........................... 123,482,673 173,531,037 20,621,218 17,491,706 ------------ ------------- ----------- ----------- Change in net assets.................... 305,737,000 40,936,848 28,666,314 17,413,341 NET ASSETS: Beginning of period.................... 649,286,122 608,349,274 20,580,070 3,166,729 ------------ ------------- ----------- ----------- End of period.......................... $955,023,122 $ 649,286,122 $49,246,384 $20,580,070 ============ ============= =========== =========== Accumulated net investment income....... $ 1,797,129 $ -- $ 120,877 $ 8,404 ============ ============= =========== ===========
--------------- * Unaudited. ** From commencement of operations.
See accompanying notes to the financial statements. 102 --------------------------------------------------------------------------------
AXA ROSENBERG U.S. LARGE AXA ROSENBERG CAPITALIZATION FUND ENHANCED 500 FUND ----------------------------------- ---------------------------------- SIX MONTHS ENDED JUNE 20, 2002 TO SIX MONTHS ENDED YEAR ENDED SEPTEMBER 30, MARCH 31, SEPTEMBER 30, MARCH 31, 2003* 2003** 2003* 2003 ---------------- ---------------- ---------------- --------------- INVESTMENT ACTIVITIES: OPERATIONS: Net investment income/(loss).......... $ 43,514 $ 71,959 $ 20,132 $ 38,567 Net realized gains/(losses) from: Investments......................... 88,676 (1,410,092) (25,822) (557,474) Foreign currency transactions....... -- -- -- -- Change in unrealized appreciation/(depreciation) from: Investments......................... 1,895,006 (790,560) 701,324 (521,341) Foreign currency transactions....... -- -- -- -- ----------- ----------- ---------- --------------- Change in net assets resulting from operations....................... 2,027,196 (2,128,693) 695,634 (1,040,248) ----------- ----------- ---------- --------------- DIVIDENDS TO SHAREHOLDERS FROM: Net investment income Institutional Shares................ -- (54,997) -- (33,051) Adviser Shares...................... -- -- -- -- Investor Shares..................... -- -- -- -- Class A Shares...................... -- (2) -- (337) Class B Shares...................... -- (1) -- (612) ----------- ----------- ---------- --------------- -- (55,000) -- (34,000) ----------- ----------- ---------- --------------- Net realized gains on investments Institutional Shares................ -- -- -- -- Adviser Shares...................... -- -- -- -- Investor Shares..................... -- -- -- -- ----------- ----------- ---------- --------------- -- -- -- -- ----------- ----------- ---------- --------------- Change in net assets resulting from dividends........................ -- (55,000) -- (34,000) ----------- ----------- ---------- --------------- CAPITAL TRANSACTIONS: Proceeds from shares issued Institutional Shares................ 21,444,738 16,564,216 137,615 168,935 Adviser Shares...................... -- -- -- -- Investor Shares..................... 156,109 1,856,818 15,063 -- Class A Shares...................... 184,186 1,010 328,199 880,633 Class B Shares...................... 88,194 1,010 522,114 79,961 ----------- ----------- ---------- --------------- 21,873,227 18,423,054 1,002,991 1,129,529 ----------- ----------- ---------- --------------- Dividends reinvested Institutional Shares................ -- 6,795 -- 3,088 Adviser Shares...................... -- -- -- -- Investor Shares..................... -- -- -- -- Class A Shares...................... -- 2 -- 337 Class B Shares...................... -- 1 -- 612 ----------- ----------- ---------- --------------- -- 6,798 -- 4,037 ----------- ----------- ---------- --------------- Cost of shares redeemed Institutional Shares................ (694,388) (2,633) (98,874) (46,561) Adviser Shares...................... -- -- -- -- Investor Shares..................... (767,924) (1,097,001) -- -- Class A Shares...................... -- -- (782) (796) Class B Shares...................... -- -- -- (24,040) ----------- ----------- ---------- --------------- (1,462,312) (1,099,634) (99,656) (71,397) ----------- ----------- ---------- --------------- Change in net assets from capital transactions..................... 20,410,915 17,330,218 903,335 1,062,169 ----------- ----------- ---------- --------------- Change in net assets.................... 22,438,111 15,146,525 1,598,969 (12,079) NET ASSETS: Beginning of period................... 15,146,525 -- 4,287,159 4,299,238 ----------- ----------- ---------- --------------- End of period......................... $37,584,636 $15,146,525 $5,886,128 $ 4,287,159 =========== =========== ========== =============== Accumulated net investment income....... $ 61,902 $ 18,388 $ 29,165 $ 9,033 =========== =========== ========== =============== AXA ROSENBERG INTERNATIONAL EQUITY FUND ------------------------------ SIX MONTHS ENDED YEAR ENDED SEPTEMBER 30, MARCH 31, 2003* 2003 ---------------- ----------- INVESTMENT ACTIVITIES: OPERATIONS: Net investment income/(loss).......... $ 74,534 $ 89,193 Net realized gains/(losses) from: Investments......................... (69,817) (1,186,538) Foreign currency transactions....... 8,068 27,463 Change in unrealized appreciation/(depreciation) from: Investments......................... 1,767,584 (586,855) Foreign currency transactions....... (1,849) 300 ----------- ----------- Change in net assets resulting from operations....................... 1,778,520 (1,656,437) ----------- ----------- DIVIDENDS TO SHAREHOLDERS FROM: Net investment income Institutional Shares................ -- (76,863) Adviser Shares...................... -- -- Investor Shares..................... -- (62) Class A Shares...................... -- (74) Class B Shares...................... -- (1) ----------- ----------- -- (77,000) ----------- ----------- Net realized gains on investments Institutional Shares................ -- -- Adviser Shares...................... -- -- Investor Shares..................... -- -- ----------- ----------- -- -- ----------- ----------- Change in net assets resulting from dividends........................ -- (77,000) ----------- ----------- CAPITAL TRANSACTIONS: Proceeds from shares issued Institutional Shares................ 2,523,838 1,466,648 Adviser Shares...................... -- -- Investor Shares..................... 2,586,195 1,462,325 Class A Shares...................... 89,482 15,809 Class B Shares...................... 272,494 3 ----------- ----------- 5,472,009 2,944,785 ----------- ----------- Dividends reinvested Institutional Shares................ -- 8,313 Adviser Shares...................... -- -- Investor Shares..................... -- 62 Class A Shares...................... -- 74 Class B Shares...................... -- 1 ----------- ----------- -- 8,450 ----------- ----------- Cost of shares redeemed Institutional Shares................ (2,485,463) (1,259,352) Adviser Shares...................... -- -- Investor Shares..................... (1,886,009) (1,460,747) Class A Shares...................... -- -- Class B Shares...................... (259,128) -- ----------- ----------- (4,630,600) (2,720,099) ----------- ----------- Change in net assets from capital transactions..................... 841,409 233,136 ----------- ----------- Change in net assets.................... 2,627,997 (1,500,301) NET ASSETS: Beginning of period................... 6,401,591 7,901,892 ----------- ----------- End of period......................... $ 9,021,520 $ 6,401,591 =========== =========== Accumulated net investment income....... $ 109,990 $ 35,456 =========== ===========
103 STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED) --------------------------------------------------------------------------------
AXA ROSENBERG AXA ROSENBERG U.S. SMALL CAPITALIZATION U.S. DISCOVERY FUND FUND ------------------------------- ------------------------------ SIX MONTHS ENDED YEAR ENDED SIX MONTHS ENDED YEAR ENDED SEPTEMBER 30, MARCH 31, SEPTEMBER 30, MARCH 31, 2003* 2003 2003* 2003 ---------------- ----------- ---------------- ---------- SHARES SOLD: Institutional......................... 13,255,951 20,603,113 1,957,348 1,894,517 Adviser............................... 762,781 2,285,047 -- -- Investor.............................. 3,847,717 11,773,977 34,826 47,400 Class A............................... -- -- 41,190 223,939 Class B............................... -- -- 8,482 10,834 ---------- ----------- --------- --------- 17,866,449 34,662,137 2,041,846 2,176,690 ---------- ----------- --------- --------- ISSUED UPON REINVESTMENT OF DISTRIBUTIONS: Institutional......................... -- 1,496,664 -- 572 Adviser............................... -- 63,128 -- -- Investor.............................. -- 400,294 -- -- Class A............................... -- -- -- 111 Class B............................... -- -- -- -- ---------- ----------- --------- --------- -- 1,960,086 -- 683 ---------- ----------- --------- --------- SHARES REDEEMED: Institutional......................... (4,184,426) (10,989,953) (98,854) (218,009) Adviser............................... (601,696) (1,024,911) -- -- Investor.............................. (1,511,338) (6,617,051) (27,401) (45,337) Class A............................... -- -- (19,223) (44,042) Class B............................... -- -- (223) -- ---------- ----------- --------- --------- (6,297,460) (18,631,915) (145,701) (307,388) ---------- ----------- --------- --------- NET INCREASE/(DECREASE): Institutional......................... 9,071,525 11,109,824 1,858,494 1,677,080 Adviser............................... 161,085 1,323,264 -- -- Investor.............................. 2,336,379 5,557,220 7,425 2,063 Class A............................... -- -- 21,967 180,008 Class B............................... -- -- 8,259 10,834 ---------- ----------- --------- --------- 11,568,989 17,990,308 1,896,145 1,869,985 ========== =========== ========= =========
--------------- * Unaudited. ** From commencement of operations.
See accompanying notes to the financial statements. 104 --------------------------------------------------------------------------------
AXA ROSENBERG AXA ROSENBERG U.S. LARGE CAPITALIZATION ENHANCED 500 FUND FUND ------------------------------------ ------------------------------ SIX MONTHS ENDED JUNE 20, 2002 TO SIX MONTHS ENDED YEAR ENDED SEPTEMBER 30, MARCH 31, SEPTEMBER 30, MARCH 31, 2003* 2003** 2003* 2003 ---------------- ---------------- ---------------- ---------- SHARES SOLD: Institutional........................... 2,231,323 1,747,367 20,725 28,129 Adviser................................. -- -- -- -- Investor................................ 17,545 208,930 2,121 -- Class A................................. 20,907 101 49,403 138,136 Class B................................. 9,663 101 75,052 12,643 --------- --------- ------- ------- 2,279,438 1,956,499 147,301 178,908 --------- --------- ------- ------- ISSUED UPON REINVESTMENT OF DISTRIBUTIONS: Institutional......................... -- 800 -- 499 Adviser............................... -- -- -- -- Investor.............................. -- -- -- -- Class A............................... -- -- -- 55 Class B............................... -- -- -- 100 --------- --------- ------- ------- -- 800 -- 654 --------- --------- ------- ------- SHARES REDEEMED: Institutional......................... (72,027) (303) (14,973) (7,255) Adviser............................... -- -- -- -- Investor.............................. (87,684) (128,702) -- -- Class A............................... -- -- (111) (141) Class B............................... -- -- -- (4,077) --------- --------- ------- ------- (159,711) (129,005) (15,084) (11,473) --------- --------- ------- ------- NET INCREASE/(DECREASE): Institutional......................... 2,159,296 1,747,864 5,752 21,373 Adviser............................... -- -- -- -- Investor.............................. (70,139) 80,228 2,121 -- Class A............................... 20,907 101 49,292 138,050 Class B............................... 9,663 101 75,052 8,666 --------- --------- ------- ------- 2,119,727 1,828,294 132,217 168,089 ========= ========= ======= ======= AXA ROSENBERG INTERNATIONAL EQUITY FUND ------------------------------ SIX MONTHS ENDED YEAR ENDED SEPTEMBER 30, MARCH 31, 2003* 2003 ---------------- ---------- SHARES SOLD: Institutional........................... 381,873 241,132 Adviser................................. -- -- Investor................................ 372,964 215,495 Class A................................. 14,812 2,652 Class B................................. 40,005 1 -------- -------- 809,654 459,280 -------- -------- ISSUED UPON REINVESTMENT OF DISTRIBUTIONS: Institutional......................... -- 1,416 Adviser............................... -- -- Investor.............................. -- 11 Class A............................... -- 13 Class B............................... -- -- -------- -------- -- 1,440 -------- -------- SHARES REDEEMED: Institutional......................... (375,330) (209,235) Adviser............................... -- -- Investor.............................. (264,553) (214,865) Class A............................... -- -- Class B............................... (38,267) -- -------- -------- (678,150) (424,100) -------- -------- NET INCREASE/(DECREASE): Institutional......................... 6,543 33,313 Adviser............................... -- -- Investor.............................. 108,411 641 Class A............................... 14,812 2,665 Class B............................... 1,738 1 -------- -------- 131,504 36,620 ======== ========
105 STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED) --------------------------------------------------------------------------------
AXA ROSENBERG INTERNATIONAL SMALL AXA ROSENBERG CAPITALIZATION FUND EUROPEAN FUND ----------------------------------- ------------------------------- SIX MONTHS ENDED YEAR ENDED SIX MONTHS ENDED YEAR ENDED SEPTEMBER 30, MARCH 31, SEPTEMBER 30, MARCH 31, 2003* 2003 2003* 2003 ---------------- --------------- ---------------- ----------- INVESTMENT ACTIVITIES: OPERATIONS: Net investment income/(loss)........... $ 450,851 $ 357,230 $ 99,895 $ 111,451 Net realized gains/(losses) from: Investments............................ 3,225,504 (466,441) (63,548) (1,024,387) Foreign currency transactions.......... 68,961 205,550 2,390 25,203 Securities sold short.................. -- -- -- -- Change in unrealized appreciation/(depreciation) from: Investments............................ 14,904,208 (1,857,953) 1,488,920 (804,842) Foreign currency transactions.......... (7,833) 45,513 6,406 (3,173) Securities sold short.................. -- -- -- -- ------------ --------------- ----------- ----------- Change in net assets resulting from operations............................. 18,641,691 (1,716,101) 1,534,063 (1,695,748) ------------ --------------- ----------- ----------- DIVIDENDS TO SHAREHOLDERS FROM: Net investment income Institutional Shares................... -- (291,111) -- (129,980) Investor Shares........................ -- (155,309) -- -- Class A Shares......................... -- (360) -- (15) Class B Shares......................... -- (220) -- (10) ------------ --------------- ----------- ----------- Change in net assets resulting from dividends.............................. -- (447,000) -- (130,005) ------------ --------------- ----------- ----------- CAPITAL TRANSACTIONS: Proceeds from shares issued Institutional Shares................... 17,655,629 14,430,196 -- 38,662 Investor Shares........................ 29,192,196 34,228,349 40 30,002 Class A Shares......................... 369,498 53,758 -- 6,736 Class B Shares......................... 44,326 28,139 2,637 2,000 Class C Shares......................... -- -- -- -- ------------ --------------- ----------- ----------- 47,261,649 48,740,442 2,677 77,400 ------------ --------------- ----------- ----------- Dividends reinvested Institutional Shares................... -- 290,811 -- 110,483 Investor Shares........................ -- 155,068 -- -- Class A Shares......................... -- 335 -- 15 Class B Shares......................... -- 191 -- 10 ------------ --------------- ----------- ----------- -- 446,405 -- 110,508 ------------ --------------- ----------- ----------- Cost of shares redeemed Institutional Shares................... (4,419,008) (20,509,475) -- (845) Investor Shares........................ (16,012,190) (23,401,050) (43) (28,483) Class A Shares......................... (5,009) (2,407) -- -- Class B Shares......................... (6,441) -- (2,469) -- Class C Shares......................... -- -- -- -- ------------ --------------- ----------- ----------- (20,442,648) (43,912,932) (2,512) (29,328) ------------ --------------- ----------- ----------- Change in net assets from capital transactions........................... 26,819,001 5,273,915 165 158,580 ------------ --------------- ----------- ----------- Change in net assets.................... 45,460,692 3,110,814 1,534,228 (1,667,173) NET ASSETS: Beginning of period.................... 37,473,684 34,362,870 5,654,863 7,322,036 ------------ --------------- ----------- ----------- End of period.......................... $ 82,934,376 $37,473,684 $ 7,189,091 $ 5,654,863 ============ =============== =========== =========== Accumulated net investment income....... $ 664,878 $ 214,027 $ 126,221 $ 26,326 ============ =============== =========== ===========
--------------- * Unaudited.
See accompanying notes to the financial statements. 106 --------------------------------------------------------------------------------
AXA ROSENBERG AXA ROSENBERG U.S. LARGE/MID CAPITALIZATION VALUE LONG/SHORT LONG/SHORT EQUITY FUND EQUITY FUND ---------------------------------- ------------------------------------ SIX MONTHS ENDED YEAR ENDED SIX MONTHS ENDED YEAR ENDED SEPTEMBER 30, MARCH 31, SEPTEMBER 30, MARCH 31, 2003* 2003 2003* 2003 ---------------- --------------- ---------------- ----------------- INVESTMENT ACTIVITIES: OPERATIONS: Net investment income/(loss).......... $ (131,284) $ (26,411) $ (242,828) $ (351,589) Net realized gains/(losses) from: Investments......................... 3,561,288 2,267,246 (23,612,271) 10,863,977 Foreign currency transactions....... -- -- -- -- Securities sold short............... (5,210,738) (1,546,126) 8,724,692 (6,246,465) Change in unrealized appreciation/(depreciation) from: Investments......................... 2,632,138 (490,501) 19,436,524 (9,946,438) Foreign currency transactions....... -- -- -- -- Securities sold short............... (4,312,847) 1,308,083 (16,260,521) 13,399,670 ------------ --------------- ------------ ----------------- Change in net assets resulting from Operations....................... (3,461,443) 1,512,291 (11,954,404) 7,719,155 ------------ --------------- ------------ ----------------- DIVIDENDS TO SHAREHOLDERS FROM: Net investment income Institutional Shares................ -- (28,658) -- -- Investor Shares..................... -- (17,239) -- -- Class A Shares...................... -- (101) -- -- Class B Shares...................... -- -- -- -- ------------ --------------- ------------ ----------------- Change in net assets resulting from dividends........................ -- (45,998) -- -- ------------ --------------- ------------ ----------------- CAPITAL TRANSACTIONS: Proceeds from shares issued Institutional Shares................ 5,338,564 18,635,690 9,627,785 94,431,194 Investor Shares..................... 8,055,428 22,073,348 24,119,835 217,673,334 Class A Shares...................... 139,392 530,889 510,692 4,929,797 Class B Shares...................... 58,021 131,537 60,384 1,743,929 Class C Shares...................... 255,091 11 868,265 13,999 ------------ --------------- ------------ ----------------- 13,846,496 41,371,475 35,186,961 318,792,253 ------------ --------------- ------------ ----------------- Dividends reinvested Institutional Shares................ -- 28,653 -- -- Investor Shares..................... -- 17,136 -- -- Class A Shares...................... -- 68 -- -- Class B Shares...................... -- -- -- -- ------------ --------------- ------------ ----------------- -- 45,857 -- -- ------------ --------------- ------------ ----------------- Cost of shares redeemed Institutional Shares................ (5,150,158) (3,343,735) (10,866,326) (81,619,435) Investor Shares..................... (14,166,273) (6,393,453) (36,292,371) (182,403,654) Class A Shares...................... (47,218) (50,401) (1,517,637) (2,617,273) Class B Shares...................... (13,168) (16,271) (726,870) (452,367) Class C Shares...................... -- -- (130,706) -- ------------ --------------- ------------ ----------------- (19,376,817) (9,803,860) (49,533,910) (267,092,729) ------------ --------------- ------------ ----------------- Change in net assets from capital transactions..................... (5,530,321) 31,613,472 (14,346,949) 51,699,524 ------------ --------------- ------------ ----------------- Change in net assets.................... (8,991,764) 33,079,765 (26,301,353) 59,418,679 NET ASSETS: Beginning of period................... 43,599,484 10,519,719 134,893,516 75,474,837 ------------ --------------- ------------ ----------------- End of period......................... $ 34,607,720 $43,599,484 $108,592,163 $ 134,893,516 ============ =============== ============ ================= Accumulated net investment income....... $ (131,284) $ -- $ (242,828) $ -- ============ =============== ============ ================= AXA ROSENBERG GLOBAL LONG/SHORT EQUITY FUND ------------------------------- SIX MONTHS ENDED YEAR ENDED SEPTEMBER 30, MARCH 31, 2003* 2003 ---------------- ------------ INVESTMENT ACTIVITIES: OPERATIONS: Net investment income/(loss).......... $ (121,382) $ (64,099) Net realized gains/(losses) from: Investments......................... 1,935,421 2,474,687 Foreign currency transactions....... -- -- Securities sold short............... (3,565,408) (1,388,147) Change in unrealized appreciation/(depreciation) from: Investments......................... 2,710,109 (445,447) Foreign currency transactions....... -- -- Securities sold short............... (2,561,788) 716,550 ----------- ------------ Change in net assets resulting from Operations....................... (1,603,048) 1,293,544 ----------- ------------ DIVIDENDS TO SHAREHOLDERS FROM: Net investment income Institutional Shares................ -- -- Investor Shares..................... -- -- Class A Shares...................... -- -- Class B Shares...................... -- -- ----------- ------------ Change in net assets resulting from dividends........................ -- -- ----------- ------------ CAPITAL TRANSACTIONS: Proceeds from shares issued Institutional Shares................ 120,740 4,725,758 Investor Shares..................... 5,822,511 17,975,636 Class A Shares...................... 260,914 380,711 Class B Shares...................... 38,297 178,143 Class C Shares...................... 12,882 76,234 ----------- ------------ 6,255,344 23,336,482 ----------- ------------ Dividends reinvested Institutional Shares................ -- -- Investor Shares..................... -- -- Class A Shares...................... -- -- Class B Shares...................... -- -- ----------- ------------ -- -- ----------- ------------ Cost of shares redeemed Institutional Shares................ (455,596) (3,468,304) Investor Shares..................... (5,517,667) (8,087,686) Class A Shares...................... (2,236) (137,206) Class B Shares...................... -- (24,270) Class C Shares...................... -- (12) ----------- ------------ (5,975,499) (11,717,478) ----------- ------------ Change in net assets from capital transactions..................... 279,845 11,619,004 ----------- ------------ Change in net assets.................... (1,323,203) 12,912,548 NET ASSETS: Beginning of period................... 23,435,796 10,523,248 ----------- ------------ End of period......................... $22,112,593 $ 23,435,796 =========== ============ Accumulated net investment income....... $ (121,382) $ -- =========== ============
107 STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED) --------------------------------------------------------------------------------
AXA ROSENBERG AXA ROSENBERG INTERNATIONAL SMALL EUROPEAN CAPITALIZATION FUND FUND ------------------------------ ------------------------------ SIX MONTHS ENDED YEAR ENDED SIX MONTHS ENDED YEAR ENDED SEPTEMBER 30, MARCH 31, SEPTEMBER 30, MARCH 31, 2003* 2003 2003* 2003 ---------------- ---------- ---------------- ---------- SHARES SOLD: Institutional......................... 1,776,674 1,717,966 -- 4,865 Investor.............................. 2,993,216 4,194,776 4 -- Class A............................... 37,410 6,407 -- 825 Class B............................... 4,354 3,367 288 261 Class C............................... -- -- -- -- ---------- ---------- ---- ------ 4,811,654 5,922,516 292 5,951 ---------- ---------- ---- ------ ISSUED UPON REINVESTMENT OF DISTRIBUTIONS: Institutional......................... -- 36,952 -- 14,056 Investor.............................. -- 19,830 -- 3,448 Class A............................... -- 43 -- 2 Class B............................... -- 24 -- 1 Class C............................... -- -- -- -- ---------- ---------- ---- ------ -- 56,849 -- 17,507 ---------- ---------- ---- ------ SHARES REDEEMED: Institutional......................... (455,881) (2,466,062) -- (104) Investor.............................. (1,656,297) (2,827,608) (4) (3,448) Class A............................... (525) (312) -- -- Class B............................... (652) -- (261) -- Class C............................... -- -- -- -- ---------- ---------- ---- ------ (2,113,355) (5,293,982) (265) (3,552) ---------- ---------- ---- ------ NET INCREASE/(DECREASE): Institutional......................... 1,320,793 (711,144) -- 18,817 Investor.............................. 1,336,919 1,386,998 -- -- Class A............................... 36,885 6,138 -- 827 Class B............................... 3,702 3,391 27 262 Class C............................... -- -- -- -- ---------- ---------- ---- ------ 2,698,299 685,383 27 19,906 ========== ========== ==== ======
--------------- * Unaudited.
See accompanying notes to the financial statements. 108 --------------------------------------------------------------------------------
AXA ROSENBERG AXA ROSENBERG U.S. LARGE/MID CAPITALIZATION VALUE LONG/SHORT EQUITY LONG/SHORT EQUITY FUND FUND ------------------------------ ------------------------------- SIX MONTHS ENDED YEAR ENDED SIX MONTHS ENDED YEAR ENDED SEPTEMBER 30, MARCH 31, SEPTEMBER 30, MARCH 31, 2003* 2003 2003* 2003 ---------------- ---------- ---------------- ----------- SHARES SOLD: Institutional........................... 483,114 1,636,065 971,195 8,885,801 Investor................................ 714,474 1,902,798 2,436,083 20,479,749 Class A................................. 12,855 46,745 51,411 466,858 Class B................................. 5,382 11,554 5,933 170,590 Class C................................. 23,053 -- 88,828 1,359 ---------- --------- ---------- ----------- 1,238,878 3,597,162 3,553,450 30,004,357 ---------- --------- ---------- ----------- ISSUED UPON REINVESTMENT OF DISTRIBUTIONS: Institutional........................... -- 2,570 -- -- Investor................................ -- 1,523 -- -- Class A................................. -- 6 -- -- Class B................................. -- -- -- -- Class C................................. -- -- -- -- ---------- --------- ---------- ----------- -- 4,099 -- -- ---------- --------- ---------- ----------- SHARES REDEEMED: Institutional........................... (468,373) (297,205) (1,101,278) (7,845,910) Investor................................ (1,281,196) (550,066) (3,718,767) (17,391,003) Class A................................. (4,379) (4,399) (154,873) (259,395) Class B................................. (1,235) (1,516) (77,009) (43,017) Class C................................. -- -- (13,903) -- ---------- --------- ---------- ----------- (1,755,183) (853,186) (5,065,830) (25,539,325) ---------- --------- ---------- ----------- NET INCREASE/(DECREASE): Institutional........................... 14,741 1,341,430 (130,083) 1,039,891 Investor................................ (566,722) 1,354,255 (1,282,684) 3,088,746 Class A................................. 8,476 42,352 (103,462) 207,463 Class B................................. 4,147 10,038 (71,076) 127,573 Class C................................. 23,053 -- 74,925 1,359 ---------- --------- ---------- ----------- (516,305) 2,748,075 (1,512,380) 4,465,302 ========== ========= ========== =========== AXA ROSENBERG GLOBAL LONG/SHORT EQUITY FUND ------------------------------ SIX MONTHS ENDED YEAR ENDED SEPTEMBER 30, MARCH 31, 2003* 2003 ---------------- ---------- SHARES SOLD: Institutional........................... 10,333 397,535 Investor................................ 516,829 1,495,778 Class A................................. 23,218 31,892 Class B................................. 3,303 15,329 Class C................................. 1,126 6,505 -------- ---------- 554,809 1,947,039 -------- ---------- ISSUED UPON REINVESTMENT OF DISTRIBUTIONS: Institutional........................... -- -- Investor................................ -- -- Class A................................. -- -- Class B................................. -- -- Class C................................. -- -- -------- ---------- -- -- -------- ---------- SHARES REDEEMED: Institutional........................... (40,727) (297,280) Investor................................ (495,019) (694,554) Class A................................. (200) (11,711) Class B................................. -- (2,148) Class C................................. -- (1) -------- ---------- (535,946) (1,005,694) -------- ---------- NET INCREASE/(DECREASE): Institutional........................... (30,394) 100,255 Investor................................ 21,810 801,224 Class A................................. 23,018 20,181 Class B................................. 3,303 13,181 Class C................................. 1,126 6,504 -------- ---------- 18,863 941,345 ======== ==========
--------------- 109 FINANCIAL HIGHLIGHTS --------------------------------------------------------------------------------
INVESTMENT ACTIVITIES LESS DIVIDENDS FROM -------------------------------------------- ------------------------------------ NET ASSET NET REALIZED TOTAL NET VALUE, NET AND UNREALIZED FROM NET REALIZED BEGINNING INVESTMENT GAINS (LOSSES) INVESTMENT INVESTMENT GAINS ON TOTAL OF PERIOD INCOME/(LOSS) ON INVESTMENTS ACTIVITIES INCOME INVESTMENTS DIVIDENDS --------- ------------- --------------- ---------- ---------- ----------- --------- INSTITUTIONAL SHARES U.S. SMALL CAPITALIZATION FUND For the Period Ended September 30, 2003*...................... $ 8.98 $ 0.02 $ 2.39 $ 2.41 $ -- $ -- $ -- For the Year Ended March 31, 2003........................... 11.18 0.03(f) (1.93) (1.90) (0.03) (0.27) (0.30) For the Year Ended March 31, 2002........................... 9.57 0.03(f) 2.17 2.20 (0.04) (0.55) (0.59) For the Year Ended March 31, 2001........................... 10.06 0.03(f) (0.16) (0.13) (0.03) (0.33) (0.36) For the Year Ended March 31, 2000........................... 7.66 -- 2.40 2.40 --(e) -- -- For the Year Ended March 31, 1999........................... 9.76 0.01(f) (2.02) (2.01) (0.01) (0.08) (0.09) U.S. DISCOVERY FUND For the Period Ended September 30, 2003*...................... 9.55 0.04(f) 2.57 2.61 -- -- -- For the Year Ended March 31, 2003........................... 11.10 0.04(f) (1.57) (1.53) (0.02) -- (0.02) September 4, 2001 to March 31, 2002**......................... 10.00 0.02 1.10 1.12 (0.02) -- (0.02) U.S. LARGE CAPITALIZATION FUND For the Period Ended September 30, 2003*...................... 8.28 --(e),(f) 1.24 1.24 -- -- -- June 19, 2002 to March 31, 2003**......................... 10.00 0.05(f) (1.73) (1.68) (0.04) -- (0.04) ENHANCED 500 FUND For the Period Ended September 30, 2003*...................... 5.95 0.03(f) 0.94 0.97 -- -- -- For the Year Ended March 31, 2003........................... 7.77 0.07(f) (1.83) (1.76) (0.06) -- (0.06) For the Year Ended March 31, 2002........................... 7.70 0.06 0.07 0.13 (0.06) -- (0.06) June 7, 2000 to March 31, 2001**......................... 10.00 0.04 (2.31) (2.27) (0.03) -- (0.03) INTERNATIONAL EQUITY FUND For the Period Ended September 30, 2003*...................... 5.56 0.06(f) 1.41 1.47 -- -- -- For the Year Ended March 31, 2003........................... 7.09 0.08(f) (1.55) (1.47) (0.07) -- (0.07) For the Year Ended March 31, 2002........................... 8.14 0.07(f) (0.76) (0.69) (0.36) -- (0.36) June 7, 2000 to March 31, 2001**......................... 10.00 0.28 (2.14) (1.86) -- -- -- INTERNATIONAL SMALL CAPITALIZATION FUND For the Period Ended September 30, 2003*...................... 7.92 0.07(f) 3.19 3.26 -- -- -- For the Year Ended March 31, 2003........................... 8.48 0.09(f) (0.56) (0.47) (0.11) -- (0.11) For the Year Ended March 31, 2002........................... 9.13 0.15(f) (0.61) (0.46) (0.19) --(e) (0.19) For the Year Ended March 31, 2001........................... 11.81 0.11 (1.28) (1.17) (0.16) (1.35) (1.51) For the Year Ended March 31, 2000........................... 9.11 0.15 2.74 2.89 (0.19) -- (0.19) For the Year Ended March 31, 1999........................... 10.10 0.12(f) (1.02) (0.90) (0.09) -- (0.09) EUROPEAN FUND For the Period Ended September 30, 2003*...................... 7.34 0.13 1.86 1.99 -- -- -- For the Year Ended March 31, 2003........................... 9.76 0.15(f) (2.40) (2.25) (0.17) -- (0.17) July 23, 2001 to March 31, 2002**......................... 10.00 0.04 (0.28) (0.24) -- -- -- U.S. LARGE/MID CAPITALIZATION LONG/SHORT EQUITY FUND For the Period Ended September 30, 2003*...................... 11.51 (0.03) (0.88) (0.91) -- -- -- For the Year Ended March 31, 2003........................... 10.22 --(e),(f) 1.31 1.31 (0.03) -- (0.03) For the Year Ended March 31, 2002........................... 9.61 0.18(f) 0.69 0.87 (0.26) -- (0.26) For the Year Ended March 31, 2001........................... 11.05 0.53(f) (1.12) (0.59) (0.85) -- (0.85) For the Year Ended March 31, 2000........................... 10.46 0.44 0.57 1.01 (0.42) -- (0.42) October 19, 1998 to March 31, 1999**......................... 10.00 0.11 0.40 0.51 (0.05) -- (0.05) VALUE LONG/SHORT EQUITY FUND For the Period Ended September 30, 2003*...................... 10.48 (0.02) (0.91) (0.93) -- -- -- For the Year Ended March 31, 2003........................... 8.96 (0.02)(f) 1.54 1.52 -- -- -- For the Year Ended March 31, 2002........................... 8.11 0.13(f) 0.94 1.07 (0.22) -- (0.22) For the Year Ended March 31, 2001........................... 7.42 0.34(f) 0.78 1.12 (0.43) -- (0.43) For the Year Ended March 31, 2000........................... 8.99 0.34 (1.58) (1.24) (0.33) -- (0.33) For the Year Ended March 31, 1999........................... 9.97 0.29(f) (1.00) (0.71) (0.27) -- (0.27) GLOBAL LONG/SHORT EQUITY FUND For the Period Ended September 30, 2003*...................... 11.87 (0.06) (0.71) (0.77) -- -- -- For the Year Ended March 31, 2003........................... 10.15 (0.03)(f) 1.73 1.70 -- -- -- For the Year Ended March 31, 2002........................... 9.43 0.16 0.96 1.12 (0.40) -- (0.40) September 29, 2000 to March 31, 2001**......................... 10.00 0.22 (0.58) (0.36) (0.11) (0.10) (0.21)
--------------- * Unaudited. ** From commencement of operations.
(a) Not annualized for periods less than one year. (b) Annualized for periods less than one year. (c) Includes dividend expense. (d) Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued. (e) Amount less than $0.005. (f) Calculated based on the average shares outstanding during the period.
See accompanying notes to the financial statements. 110 --------------------------------------------------------------------------------
RATIO/SUPPLEMENTAL DATA --------------------------------- NET NET NET INVESTMENT ASSET ASSETS, INCOME/(LOSS) REDEMPTION VALUE, TOTAL END OF PERIOD NET OF WAIVERS/ FEES END OF PERIOD RETURN(A) (000'S) REIMBURSEMENTS(B) ---------- ------------- --------- ------------- ----------------- INSTITUTIONAL SHARES U.S. SMALL CAPITALIZATION FUND For the Period Ended September 30, 2003*.................................. $ -- $11.39 26.84% $721,301 0.52% For the Year Ended March 31, 2003....... -- 8.98 (17.10)% 487,020 0.33% For the Year Ended March 31, 2002....... -- 11.18 23.92% 482,205 0.33% For the Year Ended March 31, 2001....... -- 9.57 (1.26)% 408,148 0.26% For the Year Ended March 31, 2000....... -- 10.06 31.36% 447,879 0.02% For the Year Ended March 31, 1999....... -- 7.66 (20.56)% 445,476 0.16% U.S. DISCOVERY FUND For the Period Ended September 30, 2003*.................................. -- 12.16 27.33% 46,265 0.62% For the Year Ended March 31, 2003....... -- 9.55 (13.83)% 18,589 0.38% September 4, 2001 to March 31, 2002**... -- 11.10 11.25% 2,980 0.38% U.S. LARGE CAPITALIZATION FUND For the Period Ended September 30, 2003*.................................. -- 9.52 14.98% 37,197 0.45% June 19, 2002 to March 31, 2003**....... -- 8.28 (16.78)% 14,479 0.80% ENHANCED 500 FUND For the Period Ended September 30, 2003*.................................. -- 6.92 16.30% 4,014 0.92% For the Year Ended March 31, 2003....... -- 5.95 (22.68)% 3,418 1.03% For the Year Ended March 31, 2002....... -- 7.77 1.69% 4,297 0.76% June 7, 2000 to March 31, 2001**........ -- 7.70 (22.71)% 3,910 0.59% INTERNATIONAL EQUITY FUND For the Period Ended September 30, 2003*.................................. -- 7.03 26.44% 8,100 1.90% For the Year Ended March 31, 2003....... 0.01 5.56 (20.66)% 6,368 1.24% For the Year Ended March 31, 2002....... -- 7.09 (8.36)% 7,882 0.94% June 7, 2000 to March 31, 2001**........ -- 8.14 (18.50)% 9,071 4.20% INTERNATIONAL SMALL CAPITALIZATION FUND For the Period Ended September 30, 2003*.................................. -- 11.18 41.16% 43,798 1.57% For the Year Ended March 31, 2003....... 0.02 7.92 (5.36)% 20,562 1.09% For the Year Ended March 31, 2002....... -- 8.48 (4.80)% 28,027 1.71% For the Year Ended March 31, 2001....... -- 9.13 (10.78)% 41,951 0.99% For the Year Ended March 31, 2000....... -- 11.81 32.04% 44,628 1.43% For the Year Ended March 31, 1999....... -- 9.11 (8.83)% 34,292 1.29% EUROPEAN FUND For the Period Ended September 30, 2003*.................................. -- 9.33 27.11% 7,177 2.92% For the Year Ended March 31, 2003....... -- 7.34 (23.14)% 5,645 1.75% July 23, 2001 to March 31, 2002**....... -- 9.76 (2.40)% 7,320 0.58% U.S. LARGE/MID CAPITALIZATION LONG/ SHORT EQUITY FUND For the Period Ended September 30, 2003*.................................. -- 10.60 (7.91)% 24,777 (0.55)% For the Year Ended March 31, 2003....... 0.01 11.51 12.90% 26,736 0.01% For the Year Ended March 31, 2002....... -- 10.22 9.20% 10,037 1.87% For the Year Ended March 31, 2001....... -- 9.61 (4.79)% 11,855 5.19% For the Year Ended March 31, 2000....... -- 11.05 9.82% 27,835 3.99% October 19, 1998 to March 31, 1999**.... -- 10.46 5.14% 28,814 3.15% VALUE LONG/SHORT EQUITY FUND For the Period Ended September 30, 2003*.................................. -- 9.55 (8.87)% 82,991 (0.30)% For the Year Ended March 31, 2003....... -- 10.48 16.96% 92,356 (0.15)% For the Year Ended March 31, 2002....... -- 8.96 13.53% 69,629 1.61% For the Year Ended March 31, 2001....... -- 8.11 15.96% 61,923 4.56% For the Year Ended March 31, 2000....... -- 7.42 (14.13)% 74,401 2.82% For the Year Ended March 31, 1999....... -- 8.99 (7.31)% 162,404 2.97% GLOBAL LONG/SHORT EQUITY FUND For the Period Ended September 30, 2003*.................................. -- 11.10 (6.49)% 12,282 (0.91)% For the Year Ended March 31, 2003....... 0.02 11.87 16.95% 13,491 (0.28)% For the Year Ended March 31, 2002....... -- 10.15 12.21% 10,514 1.67% September 29, 2000 to March 31, 2001**................................. -- 9.43 (3.56)% 14,924 4.59% RATIO/SUPPLEMENTAL DATA ------------------------------------------------------------------------------- EXPENSES EXPENSES EXPENSES (EXCLUDING BEFORE NET OF DIVIDEND EXPENSE) PORTFOLIO WAIVERS/ WAIVERS/ NET OF WAIVERS/ TURNOVER REIMBURSEMENTS(B),(C) REIMBURSEMENTS(B),(C) REIMBURSEMENTS(B) RATE(D) --------------------- --------------------- ------------------- --------- INSTITUTIONAL SHARES U.S. SMALL CAPITALIZATION FUND For the Period Ended September 30, 2003*.................................. 1.15% 1.15% 1.15% 41.96% For the Year Ended March 31, 2003....... 1.29% 1.15% 1.15% 70.83% For the Year Ended March 31, 2002....... 1.29% 1.15% 1.15% 101.08% For the Year Ended March 31, 2001....... 1.25% 1.15% 1.15% 128.79% For the Year Ended March 31, 2000....... 1.23% 1.15% 1.15% 141.78% For the Year Ended March 31, 1999....... 1.19% 1.15% 1.15% 123.66% U.S. DISCOVERY FUND For the Period Ended September 30, 2003*.................................. 1.69% 1.15% 1.15% 48.75% For the Year Ended March 31, 2003....... 3.71% 1.15% 1.15% 98.65% September 4, 2001 to March 31, 2002**... 9.02% 1.15% 1.15% 78.02% U.S. LARGE CAPITALIZATION FUND For the Period Ended September 30, 2003*.................................. 2.28% 1.00% 1.00% 69.28% June 19, 2002 to March 31, 2003**....... 2.73% 0.99% 0.99% 100.79% ENHANCED 500 FUND For the Period Ended September 30, 2003*.................................. 2.74% 0.75% 0.75% 40.56% For the Year Ended March 31, 2003....... 4.55% 0.75% 0.75% 68.73% For the Year Ended March 31, 2002....... 3.81% 0.75% 0.75% 111.54% June 7, 2000 to March 31, 2001**........ 2.90% 0.75% 0.75% 88.81% INTERNATIONAL EQUITY FUND For the Period Ended September 30, 2003*.................................. 4.56% 1.35% 1.35% 72.08% For the Year Ended March 31, 2003....... 5.30% 1.35% 1.35% 138.85% For the Year Ended March 31, 2002....... 4.13% 1.35% 1.35% 132.84% June 7, 2000 to March 31, 2001**........ 3.48% 1.35% 1.35% 86.18% INTERNATIONAL SMALL CAPITALIZATION FUND For the Period Ended September 30, 2003*.................................. 2.28% 1.50% 1.50% 48.09% For the Year Ended March 31, 2003....... 2.60% 1.50% 1.50% 129.34% For the Year Ended March 31, 2002....... 2.24% 1.50% 1.50% 147.52% For the Year Ended March 31, 2001....... 1.93% 1.50% 1.50% 148.53% For the Year Ended March 31, 2000....... 1.96% 1.50% 1.50% 148.72% For the Year Ended March 31, 1999....... 1.97% 1.50% 1.50% 111.05% EUROPEAN FUND For the Period Ended September 30, 2003*.................................. 4.16% 1.25% 1.25% 43.83% For the Year Ended March 31, 2003....... 5.45% 1.25% 1.25% 170.62% July 23, 2001 to March 31, 2002**....... 5.45% 1.25% 1.25% 90.92% U.S. LARGE/MID CAPITALIZATION LONG/ SHORT EQUITY FUND For the Period Ended September 30, 2003*.................................. 3.20% 2.85% 1.25% 98.67% For the Year Ended March 31, 2003....... 3.59% 2.67% 1.25% 185.66% For the Year Ended March 31, 2002....... 2.84% 1.95% 1.25% 313.22% For the Year Ended March 31, 2001....... 2.67% 2.12% 1.25% 399.02% For the Year Ended March 31, 2000....... 2.81% 2.27% 1.25% 368.26% October 19, 1998 to March 31, 1999**.... 3.90% 2.75% 1.25% 145.22% VALUE LONG/SHORT EQUITY FUND For the Period Ended September 30, 2003*.................................. 2.85% 2.70% 1.75% 32.53% For the Year Ended March 31, 2003....... 2.72% 2.42% 1.74% 209.95% For the Year Ended March 31, 2002....... 2.49% 2.18% 1.75% 126.45% For the Year Ended March 31, 2001....... 3.05% 2.72% 1.84% 129.80% For the Year Ended March 31, 2000....... 3.40% 3.04% 2.00% 139.22% For the Year Ended March 31, 1999....... 3.07% 2.85% 2.00% 205.32% GLOBAL LONG/SHORT EQUITY FUND For the Period Ended September 30, 2003*.................................. 3.55% 2.79% 1.62% 72.00% For the Year Ended March 31, 2003....... 4.04% 2.50% 1.50% 189.09% For the Year Ended March 31, 2002....... 3.19% 1.93% 1.50% 231.34% September 29, 2000 to March 31, 2001**................................. 3.19% 2.15% 1.50% 216.10%
111 FINANCIAL HIGHLIGHTS (CONTINUED) --------------------------------------------------------------------------------
INVESTMENT ACTIVITIES LESS DIVIDENDS FROM ------------------------------------------- ------------------------------------ NET REALIZED NET NET ASSET AND UNREALIZED TOTAL REALIZED VALUE, NET GAINS FROM NET GAINS BEGINNING INVESTMENT (LOSSES) ON INVESTMENT INVESTMENT ON TOTAL OF PERIOD INCOME/(LOSS) INVESTMENTS ACTIVITIES INCOME INVESTMENTS DIVIDENDS --------- ------------- -------------- ---------- ---------- ----------- --------- ADVISER SHARES U.S. SMALL CAPITALIZATION FUND For the Period Ended September 30, 2003*....................... $ 8.91 $ 0.02 $ 2.36 $ 2.38 $ -- $ -- $ -- For the Year Ended March 31, 2003............................ 11.12 0.01(f) (1.93) (1.92) (0.02) (0.27) (0.29) For the Year Ended March 31, 2002............................ 9.53 --(f) 2.17 2.17 (0.03) (0.55) (0.58) For the Year Ended March 31, 2001............................ 10.02 0.01(f) (0.16) (0.15) (0.01) (0.33) (0.34) For the Year Ended March 31, 2000............................ 7.65 -- 2.37 2.37 --(e) -- -- For the Year Ended March 31, 1999............................ 9.75 --(f) (2.02) (2.02) -- (0.08) (0.08) INVESTOR SHARES U.S. SMALL CAPITALIZATION FUND For the Period Ended September 30, 2003*....................... 8.88 0.02 2.35 2.37 -- -- -- For the Year Ended March 31, 2003............................ 11.08 --(e),(f) (1.92) (1.92) (0.01) (0.27) (0.28) For the Year Ended March 31, 2002............................ 9.50 --(f) 2.15 2.15 (0.02) (0.55) (0.57) For the Year Ended March 31, 2001............................ 10.00 (0.01)(f) (0.14) (0.15) (0.02) (0.33) (0.35) For the Year Ended March 31, 2000............................ 7.63 -- 2.37 2.37 -- -- -- For the Year Ended March 31, 1999............................ 9.73 (0.01)(f) (2.01) (2.02) -- (0.08) (0.08) U.S. DISCOVERY FUND For the Period Ended September 30, 2003*....................... 9.53 0.02(f) 2.55 2.57 -- -- -- For the Year Ended March 31, 2003............................ 11.08 0.02(f) (1.57) (1.55) -- -- -- October 3, 2001 to March 31, 2002**.......................... 9.38 -- 1.72 1.72 (0.02) -- (0.02) U.S. LARGE CAPITALIZATION FUND For the Period Ended September 30, 2003*....................... 8.31 --(e),(f) 1.22 1.22 -- -- -- July 31, 2002 to March 31, 2003**.......................... 8.88 0.05(f) (0.62) (0.57) -- -- -- ENHANCED 500 FUND August 15, 2003 to September 30, 2003*,**........................ 6.95 0.02(f) 0.01 0.03 -- -- -- INTERNATIONAL EQUITY FUND For the Period Ended September 30, 2003*....................... 5.57 0.02(f) 1.45 1.47 -- -- -- For the Year Ended March 31, 2003............................ 7.05 0.07(f) (1.54) (1.47) (0.02) -- (0.02) For the Year Ended March 31, 2002............................ 8.13 0.05(f) (0.78) (0.73) (0.35) -- (0.35) December 5, 2000 to March 31, 2001**.......................... 8.98 0.27 (1.12) (0.85) -- -- -- INTERNATIONAL SMALL CAPITALIZATION FUND For the Period Ended September 30, 2003*....................... 7.87 0.08(f) 3.15 3.23 -- -- -- For the Year Ended March 31, 2003............................ 8.43 0.08(f) (0.57) (0.49) (0.09) -- (0.09) For the Year Ended March 31, 2002............................ 9.09 0.07(f) (0.55) (0.48) (0.18) --(e) (0.18) For the Year Ended March 31, 2001............................ 11.77 0.08 (1.29) (1.21) (0.12) (1.35) (1.47) For the Year Ended March 31, 2000............................ 9.10 0.13 2.71 2.84 (0.17) -- (0.17) For the Year Ended March 31, 1999............................ 10.09 0.07(f) (1.00) (0.93) (0.06) -- (0.06) U.S. LARGE/MID CAPITALIZATION LONG/SHORT EQUITY FUND For the Period Ended September 30, 2003*....................... 11.61 (0.07) (0.86) (0.93) -- -- -- For the Year Ended March 31, 2003............................ 10.34 (0.05)(f) 1.33 1.28 (0.02) -- (0.02) For the Year Ended March 31, 2002............................ 9.73 0.10(f) 0.76 0.86 (0.25) -- (0.25) For the Year Ended March 31, 2001............................ 10.99 0.50(f) (1.10) (0.60) (0.66) -- (0.66) For the Year Ended March 31, 2000............................ 10.43 0.43 0.53 0.96 (0.40) -- (0.40) November 11, 1998 to March 31, 1999**.......................... 10.00 0.07 0.40 0.47 (0.04) -- (0.04) VALUE LONG/SHORT EQUITY FUND For the Period Ended September 30, 2003*....................... 10.43 (0.03) (0.90) (0.93) -- -- -- For the Year Ended March 31, 2003............................ 8.95 (0.05)(f) 1.53 1.48 -- -- -- For the Year Ended March 31, 2002............................ 8.10 0.09(f) 0.96 1.05 (0.20) -- (0.20) For the Year Ended March 31, 2001............................ 7.41 0.31(f) 0.78 1.09 (0.40) -- (0.40) For the Year Ended March 31, 2000............................ 8.98 0.32 (1.59) (1.27) (0.30) -- (0.30) For the Year Ended March 31, 1999............................ 9.96 0.25(f) (1.00) (0.75) (0.23) -- (0.23) GLOBAL LONG/SHORT EQUITY FUND For the Period Ended September 30, 2003*....................... 11.81 (0.07) (0.71) (0.78) -- -- -- For the Year Ended March 31, 2003............................ 10.13 (0.09)(e),(f) 1.75 1.66 -- -- -- August 23, 2001 to March 31, 2002**.......................... 10.19 0.01(f) 0.32 0.33 (0.39) -- (0.39)
--------------- * Unaudited. ** From commencement of operations. (a) Not annualized for periods less than one year. (b) Annualized for periods less than one year. (c) Includes dividend expense. (d) Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued. (e) Amount less than $0.005. (f) Calculated based on the average shares outstanding during the period.
112 --------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA ---------------------------------------------------- NET NET INVESTMENT NET ASSET ASSETS, INCOME/(LOSS) EXPENSES VALUE, END OF NET OF BEFORE REDEMPTION END OF TOTAL PERIOD WAIVERS/ WAIVERS/ FEES PERIOD RETURN(A) (000'S) REIMBURSEMENTS(B) REIMBURSEMENTS(B),(C) ---------- --------- --------- -------- ----------------- --------------------- ADVISER SHARES U.S. SMALL CAPITALIZATION FUND For the Period Ended September 30, 2003*.................................. $ -- $11.29 26.71% $34,741 0.26% 1.40% For the Year Ended March 31, 2003....... -- 8.91 (17.35)% 25,973 0.07% 1.54% For the Year Ended March 31, 2002....... -- 11.12 23.61% 17,695 0.05% 1.53% For the Year Ended March 31, 2001....... -- 9.53 (1.43)% 8,137 0.07% 1.45% For the Year Ended March 31, 2000....... -- 10.02 31.00% 7,884 (0.16)% 1.39% For the Year Ended March 31, 1999....... -- 7.65 (20.70)% 15,465 0.00% 1.35% INVESTOR SHARES U.S. SMALL CAPITALIZATION FUND For the Period Ended September 30, 2003*.................................. -- 11.25 26.69% 198,981 0.19% 1.49% For the Year Ended March 31, 2003....... -- 8.88 (17.42)% 136,293 (0.02)% 1.63% For the Year Ended March 31, 2002....... -- 11.08 23.50% 108,449 (0.05)% 1.65% For the Year Ended March 31, 2001....... -- 9.50 (1.52)% 65,217 (0.13)% 1.53% For the Year Ended March 31, 2000....... -- 10.00 31.06% 11,400 (0.13)% 1.50% For the Year Ended March 31, 1999....... -- 7.63 (20.74)% 16,228 (0.15)% 1.77% U.S. DISCOVERY FUND For the Period Ended September 30, 2003*.................................. -- 12.10 26.97% 222 0.37% 1.92% For the Year Ended March 31, 2003....... -- 9.53 (13.99)% 104 0.20% 6.18% October 3, 2001 to March 31, 2002**..... -- 11.08 18.34% 98 0.03% 10.26% U.S. LARGE CAPITALIZATION FUND For the Period Ended September 30, 2003*.................................. -- 9.53 14.68% 96 (0.06)% 2.33% July 31, 2002 to March 31, 2003**....... -- 8.31 (6.42)% 666 0.87% 3.05% ENHANCED 500 FUND August 15, 2003 to September 30, 2003*,**............................... -- 6.98 0.43% 15 0.47% 3.14% INTERNATIONAL EQUITY FUND For the Period Ended September 30, 2003*.................................. -- 7.04 26.39% 785 0.78% 4.93% For the Year Ended March 31, 2003....... 0.01 5.57 (20.73)% 17 1.06% 5.27% For the Year Ended March 31, 2002....... -- 7.05 (8.83)% 18 0.64% 4.27% December 5, 2000 to March 31, 2001**.... -- 8.13 (9.47)% 24 25.10% 4.09% INTERNATIONAL SMALL CAPITALIZATION FUND For the Period Ended September 30, 2003*.................................. -- 11.10 41.04% 38,577 1.59% 2.57% For the Year Ended March 31, 2003....... 0.02 7.87 (5.53)% 16,834 0.99% 2.93% For the Year Ended March 31, 2002....... -- 8.43 (5.08)% 6,334 0.79% 2.67% For the Year Ended March 31, 2001....... -- 9.09 (11.08)% 1,731 0.67% 2.24% For the Year Ended March 31, 2000....... -- 11.77 31.47% 1,650 1.14% 2.28% For the Year Ended March 31, 1999....... -- 9.10 (9.16)% 1,697 0.79% 2.66% U.S. LARGE/MID CAPITALIZATION LONG/ SHORT EQUITY FUND For the Period Ended September 30, 2003*.................................. -- 10.68 (8.01)% 8,895 (0.82)% 3.46% For the Year Ended March 31, 2003....... 0.01 11.61 12.49% 16,251 (0.45)% 3.91% For the Year Ended March 31, 2002....... -- 10.34 8.96% 471 0.99% 3.42% For the Year Ended March 31, 2001....... -- 9.73 (5.06)% 24 4.90% 2.96% For the Year Ended March 31, 2000....... -- 10.99 9.39% 904 3.72% 3.11% November 11, 1998 to March 31, 1999**... -- 10.43 4.71% 539 2.26% 3.73% VALUE LONG/SHORT EQUITY FUND For the Period Ended September 30, 2003*.................................. -- 9.50 (8.92)% 22,849 (0.57)% 3.11% For the Year Ended March 31, 2003....... -- 10.43 16.54% 38,473 (0.43)% 2.97% For the Year Ended March 31, 2002....... -- 8.95 13.24% 5,355 1.05% 2.79% For the Year Ended March 31, 2001....... -- 8.10 15.49% 3,952 4.23% 3.37% For the Year Ended March 31, 2000....... -- 7.41 (14.41)% 6,155 2.36% 3.70% For the Year Ended March 31, 1999....... -- 8.98 (7.66)% 37,387 2.53% 3.52% GLOBAL LONG/SHORT EQUITY FUND For the Period Ended September 30, 2003*.................................. -- 11.03 (6.60)% 9,090 (1.21)% 3.86% For the Year Ended March 31, 2003....... 0.02 11.81 16.58% 9,474 (0.80)% 4.42% August 23, 2001 to March 31, 2002**..... -- 10.13 3.58% 7 0.22% 4.43% RATIOS/SUPPLEMENTAL DATA ------------------------------------------------------- EXPENSES (EXCLUDING EXPENSES DIVIDEND EXPENSE) NET OF NET OF PORTFOLIO WAIVERS/ WAIVERS/ TURNOVER REIMBURSEMENTS(B),(C) REIMBURSEMENTS(B) RATE(D) --------------------- ------------------- --------- ADVISER SHARES U.S. SMALL CAPITALIZATION FUND For the Period Ended September 30, 2003*.................................. 1.40% 1.40% 41.96% For the Year Ended March 31, 2003....... 1.40% 1.40% 70.83% For the Year Ended March 31, 2002....... 1.39% 1.39% 101.08% For the Year Ended March 31, 2001....... 1.35% 1.35% 128.79% For the Year Ended March 31, 2000....... 1.31% 1.31% 141.78% For the Year Ended March 31, 1999....... 1.29% 1.29% 123.66% INVESTOR SHARES U.S. SMALL CAPITALIZATION FUND For the Period Ended September 30, 2003*.................................. 1.49% 1.49% 41.96% For the Year Ended March 31, 2003....... 1.49% 1.49% 70.83% For the Year Ended March 31, 2002....... 1.51% 1.51% 101.08% For the Year Ended March 31, 2001....... 1.43% 1.43% 128.79% For the Year Ended March 31, 2000....... 1.28% 1.28% 141.78% For the Year Ended March 31, 1999....... 1.42% 1.42% 123.66% U.S. DISCOVERY FUND For the Period Ended September 30, 2003*.................................. 1.40% 1.40% 48.75% For the Year Ended March 31, 2003....... 1.40% 1.40% 98.65% October 3, 2001 to March 31, 2002**..... 1.40% 1.40% 78.02% U.S. LARGE CAPITALIZATION FUND For the Period Ended September 30, 2003*.................................. 1.23% 1.23% 69.28% July 31, 2002 to March 31, 2003**....... 1.25% 1.25% 100.79% ENHANCED 500 FUND August 15, 2003 to September 30, 2003*,**............................... 1.05% 1.05% 40.56% INTERNATIONAL EQUITY FUND For the Period Ended September 30, 2003*.................................. 1.61% 1.61% 72.08% For the Year Ended March 31, 2003....... 1.60% 1.60% 138.85% For the Year Ended March 31, 2002....... 1.60% 1.60% 132.84% December 5, 2000 to March 31, 2001**.... 1.60% 1.60% 86.18% INTERNATIONAL SMALL CAPITALIZATION FUND For the Period Ended September 30, 2003*.................................. 1.78% 1.78% 48.09% For the Year Ended March 31, 2003....... 1.78% 1.78% 129.34% For the Year Ended March 31, 2002....... 1.78% 1.78% 147.52% For the Year Ended March 31, 2001....... 1.81% 1.81% 148.53% For the Year Ended March 31, 2000....... 1.81% 1.81% 148.72% For the Year Ended March 31, 1999....... 1.95% 1.95% 111.05% U.S. LARGE/MID CAPITALIZATION LONG/ SHORT EQUITY FUND For the Period Ended September 30, 2003*.................................. 3.12% 1.53% 98.67% For the Year Ended March 31, 2003....... 3.07% 1.54% 185.66% For the Year Ended March 31, 2002....... 2.42% 1.56% 313.22% For the Year Ended March 31, 2001....... 2.41% 1.54% 399.02% For the Year Ended March 31, 2000....... 2.55% 1.52% 368.26% November 11, 1998 to March 31, 1999**... 2.77% 1.46% 145.22% VALUE LONG/SHORT EQUITY FUND For the Period Ended September 30, 2003*.................................. 2.96% 2.04% 32.53% For the Year Ended March 31, 2003....... 2.69% 2.02% 209.95% For the Year Ended March 31, 2002....... 2.48% 2.04% 126.45% For the Year Ended March 31, 2001....... 3.04% 2.16% 129.80% For the Year Ended March 31, 2000....... 3.35% 2.29% 139.22% For the Year Ended March 31, 1999....... 3.31% 2.45% 205.32% GLOBAL LONG/SHORT EQUITY FUND For the Period Ended September 30, 2003*.................................. 3.09% 1.93% 72.00% For the Year Ended March 31, 2003....... 2.92% 1.80% 189.09% August 23, 2001 to March 31, 2002**..... 2.34% 1.75% 231.34%
113 FINANCIAL HIGHLIGHTS (CONTINUED) --------------------------------------------------------------------------------
INVESTMENT ACTIVITIES LESS DIVIDENDS FROM ------------------------------------------- ------------------------------------ NET REALIZED NET NET ASSET AND UNREALIZED TOTAL REALIZED VALUE, NET GAINS FROM NET GAINS BEGINNING INVESTMENT (LOSSES) ON INVESTMENT INVESTMENT ON TOTAL OF PERIOD INCOME/(LOSS) INVESTMENTS ACTIVITIES INCOME INVESTMENTS DIVIDENDS --------- ------------- -------------- ---------- ---------- ----------- --------- CLASS A SHARES U.S. DISCOVERY FUND For the Period Ended September 30, 2003*....................... $ 9.49 $ --(f),(g) $ 2.56 $ 2.56 $ -- $ -- $ -- For the Year Ended March 31, 2003............................ 11.07 (0.02)(f) (1.55) (1.57) (0.01) -- (0.01) October 1, 2001 to March 31, 2002**.......................... 9.08 -- 2.01 2.01 (0.02) -- (0.02) U.S. LARGE CAPITALIZATION FUND For the Period Ended September 30, 2003*....................... 8.28 --(f),(g) 1.21 1.21 -- -- -- June 19, 2002 to March 31, 2003**.......................... 10.00 0.03(f) (1.72) (1.69) (0.03) -- (0.03) ENHANCED 500 FUND For the Period Ended September 30, 2003*....................... 5.91 0.01(f) 0.94 0.95 -- -- -- For the Year Ended March 31, 2003............................ 7.76 0.04(f) (1.83) (1.79) (0.06) -- (0.06) October 1, 2001 to March 31, 2002**.......................... 7.10 0.01 0.70 0.71 (0.05) -- (0.05) INTERNATIONAL EQUITY FUND For the Period Ended September 30, 2003*....................... 5.53 0.03(f) 1.42 1.45 -- -- -- For the Year Ended March 31, 2003............................ 7.08 0.06(f) (1.56) (1.50) (0.06) -- (0.06) October 1, 2001 to March 31, 2002**.......................... 6.92 (0.02)(f) 0.54 0.52 (0.36) -- (0.36) INTERNATIONAL SMALL CAPITALIZATION FUND For the Period Ended September 30, 2003*....................... 7.89 0.04(f) 3.18 3.22 -- -- -- For the Year Ended March 31, 2003............................ 8.46 0.04(f) (0.55) (0.51) (0.08) -- (0.08) October 1, 2001 to March 31, 2002**.......................... 7.71 --(f) 0.94 0.94 (0.19) --(g) (0.19) EUROPEAN FUND For the Period Ended September 30, 2003*....................... 7.32 0.11 1.86 1.97 -- -- -- For the Year Ended March 31, 2003............................ 9.74 0.13(f) (2.42) (2.29) (0.13) -- (0.13) October 1, 2001 to March 31, 2002**.......................... 8.82 -- 0.92 0.92 -- -- -- U.S. LARGE/MID CAPITALIZATION LONG/SHORT EQUITY FUND For the Period Ended September 30, 2003*....................... 11.45 (0.05) (0.88) (0.93) -- -- -- For the Year Ended March 31, 2003............................ 10.22 (0.07)(f) 1.30 1.23 (0.01) -- (0.01) October 1, 2001 to March 31, 2002**.......................... 11.17 --(f) (0.70) (0.70) (0.25) -- (0.25) VALUE LONG/SHORT EQUITY FUND For the Period Ended September 30, 2003*....................... 10.41 (0.04)(f) (0.90) (0.94) -- -- -- For the Year Ended March 31, 2003............................ 8.94 (0.08)(f) 1.55 1.47 -- -- -- October 1, 2001 to March 31, 2002**.......................... 9.56 (0.02)(f) (0.38) (0.40) (0.22) -- (0.22) GLOBAL LONG/SHORT EQUITY FUND For the Period Ended September 30, 2003*....................... 11.80 (0.07) (0.72) (0.79) -- -- -- For the Year Ended March 31, 2003............................ 10.13 (0.13)(f) 1.78 1.65 -- -- -- October 1, 2001 to March 31, 2002**.......................... 11.30 (0.01) (0.77) (0.78) (0.39) -- (0.39)
--------------- * Unaudited. ** From commencement of operations. (a) Total return excludes sales charge. (b) Not annualized for periods less than one year. (c) Annualized for periods less than one year. (d) Includes dividend expense. (e) Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued. (f) Calculated based on the average shares outstanding during the period. (g) Amount less than $0.005.
114 --------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA --------------------------- NET NET INVESTMENT NET ASSET ASSETS, INCOME/(LOSS) VALUE, END OF NET OF REDEMPTION END OF TOTAL PERIOD WAIVERS/ FEES PERIOD RETURN(A),(B) (000'S) REIMBURSEMENTS(C) ---------- --------- ------------- ------- ----------------- CLASS A SHARES U.S. DISCOVERY FUND For the Period Ended September 30, 2003*.................................. $ -- $12.05 26.98% $2,468 0.09% For the Year Ended March 31, 2003....... -- 9.49 (14.22)% 1,736 (0.19)% October 1, 2001 to March 31, 2002**..... -- 11.07 22.11% 31 0.32% U.S. LARGE CAPITALIZATION FUND For the Period Ended September 30, 2003*.................................. -- 9.49 14.61% 199 (0.01)% June 19, 2002 to March 31, 2003**....... -- 8.28 (16.94)% 1 0.50% ENHANCED 500 FUND For the Period Ended September 30, 2003*.................................. -- 6.86 16.07% 1,286 0.44% For the Year Ended March 31, 2003....... -- 5.91 (23.15)% 817 0.65% October 1, 2001 to March 31, 2002**..... -- 7.76 10.07% 1 0.24% INTERNATIONAL EQUITY FUND For the Period Ended September 30, 2003*.................................. -- 6.98 26.22% 123 1.15% For the Year Ended March 31, 2003....... 0.01 5.53 (21.08)% 16 0.98% October 1, 2001 to March 31, 2002**..... -- 7.08 7.71% 1 (0.55)% INTERNATIONAL SMALL CAPITALIZATION FUND For the Period Ended September 30, 2003*.................................. -- 11.11 40.81% 480 0.64% For the Year Ended March 31, 2003....... 0.02 7.89 (5.75)% 49 0.55% October 1, 2001 to March 31, 2002**..... -- 8.46 12.40% 1 0.10% EUROPEAN FUND For the Period Ended September 30, 2003*.................................. -- 9.29 26.91% 9 2.43% For the Year Ended March 31, 2003....... -- 7.32 (23.56)% 7 1.67% October 1, 2001 to March 31, 2002**..... -- 9.74 10.43% 1 (0.09)% U.S. LARGE/MID CAPITALIZATION LONG/ SHORT EQUITY FUND For the Period Ended September 30, 2003*.................................. -- 10.52 (8.12)% 546 (1.05)% For the Year Ended March 31, 2003....... 0.01 11.45 12.16% 497 (0.60)% October 1, 2001 to March 31, 2002**..... -- 10.22 (6.13)% 11 0.07% VALUE LONG/SHORT EQUITY FUND For the Period Ended September 30, 2003*.................................. -- 9.47 (9.03)% 1,398 (0.78)% For the Year Ended March 31, 2003....... -- 10.41 16.44% 2,613 (0.75)% October 1, 2001 to March 31, 2002**..... -- 8.94 (3.92)% 390 (0.54)% GLOBAL LONG/SHORT EQUITY FUND For the Period Ended September 30, 2003*.................................. -- 11.01 (6.69)% 477 (1.46)% For the Year Ended March 31, 2003....... 0.02 11.80 16.49% 239 (1.08)% October 1, 2001 to March 31, 2002**..... -- 10.13 (6.62)% 1 (0.16)% RATIOS/SUPPLEMENTAL DATA ------------------------------------------------------------------------------- EXPENSES (EXCLUDING EXPENSES EXPENSES DIVIDEND EXPENSE) BEFORE NET OF NET OF PORTFOLIO WAIVERS/ WAIVERS/ WAIVERS/ TURNOVER REIMBURSEMENTS(C),(D) REIMBURSEMENTS(C),(D) REIMBURSEMENTS(C) RATE(E) --------------------- --------------------- ------------------- --------- CLASS A SHARES U.S. DISCOVERY FUND For the Period Ended September 30, 2003*.................................. 2.20% 1.65% 1.65% 48.75% For the Year Ended March 31, 2003....... 4.02% 1.65% 1.65% 98.65% October 1, 2001 to March 31, 2002**..... 10.43% 1.65% 1.65% 78.02% U.S. LARGE CAPITALIZATION FUND For the Period Ended September 30, 2003*.................................. 2.74% 1.50% 1.50% 69.28% June 19, 2002 to March 31, 2003**....... 2.61% 1.30% 1.30% 100.79% ENHANCED 500 FUND For the Period Ended September 30, 2003*.................................. 3.24% 1.25% 1.25% 40.56% For the Year Ended March 31, 2003....... 5.12% 1.26% 1.26% 68.73% October 1, 2001 to March 31, 2002**..... 5.17% 1.25% 1.25% 111.54% INTERNATIONAL EQUITY FUND For the Period Ended September 30, 2003*.................................. 5.10% 1.86% 1.86% 72.08% For the Year Ended March 31, 2003....... 5.80% 1.86% 1.86% 138.85% October 1, 2001 to March 31, 2002**..... 5.59% 1.85% 1.85% 132.84% INTERNATIONAL SMALL CAPITALIZATION FUND For the Period Ended September 30, 2003*.................................. 2.82% 2.01% 2.01% 48.09% For the Year Ended March 31, 2003....... 3.18% 2.01% 2.01% 129.34% October 1, 2001 to March 31, 2002**..... 3.13% 2.00% 2.00% 147.52% EUROPEAN FUND For the Period Ended September 30, 2003*.................................. 4.66% 1.75% 1.75% 43.83% For the Year Ended March 31, 2003....... 5.64% 1.73% 1.73% 170.62% October 1, 2001 to March 31, 2002**..... 7.30% 1.75% 1.75% 90.92% U.S. LARGE/MID CAPITALIZATION LONG/ SHORT EQUITY FUND For the Period Ended September 30, 2003*.................................. 3.70% 3.35% 1.75% 98.67% For the Year Ended March 31, 2003....... 4.03% 3.21% 1.76% 185.66% October 1, 2001 to March 31, 2002**..... 3.73% 2.63% 1.75% 313.22% VALUE LONG/SHORT EQUITY FUND For the Period Ended September 30, 2003*.................................. 3.31% 3.16% 2.25% 32.53% For the Year Ended March 31, 2003....... 3.31% 3.01% 2.25% 209.95% October 1, 2001 to March 31, 2002**..... 3.01% 2.64% 2.25% 126.45% GLOBAL LONG/SHORT EQUITY FUND For the Period Ended September 30, 2003*.................................. 4.08% 3.34% 2.17% 72.00% For the Year Ended March 31, 2003....... 4.63% 3.13% 2.01% 189.09% October 1, 2001 to March 31, 2002**..... 4.58% 2.51% 2.00% 231.34%
115 FINANCIAL HIGHLIGHTS (CONTINUED) --------------------------------------------------------------------------------
INVESTMENT ACTIVITIES LESS DIVIDENDS FROM ------------------------------------------- ------------------------------------ NET REALIZED NET NET ASSET AND UNREALIZED TOTAL REALIZED VALUE, NET GAINS FROM NET GAINS BEGINNING INVESTMENT (LOSSES) ON INVESTMENT INVESTMENT ON TOTAL OF PERIOD INCOME/(LOSS) INVESTMENTS ACTIVITIES INCOME INVESTMENTS DIVIDENDS --------- ------------- -------------- ---------- ---------- ----------- --------- CLASS B SHARES U.S. DISCOVERY FUND For the Period Ended September 30, 2003*....................... $ 9.43 $(0.02)(f) $ 2.53 $ 2.51 $ -- $ -- $ -- For the Year Ended March 31, 2003............................ 11.05 (0.06)(f) (1.56) (1.62) -- -- -- October 1, 2001 to March 31, 2002**.......................... 9.08 (0.04) 2.03 1.99 (0.02) -- (0.02) U.S. LARGE CAPITALIZATION FUND For the Period Ended September 30, 2003*....................... 8.26 --(f),(g) 1.19 1.19 -- -- -- June 19, 2002 to March 31, 2003**.......................... 10.00 --(f),(g) (1.73) (1.73) (0.01) -- (0.01) ENHANCED 500 FUND For the Period Ended September 30, 2003*....................... 5.88 (0.01)(f) 0.94 0.93 -- -- -- For the Year Ended March 31, 2003............................ 7.75 0.01(f) (1.83) (1.82) (0.05) -- (0.05) October 1, 2001 to March 31, 2002**.......................... 7.10 (0.01) 0.70 0.69 (0.04) -- (0.04) INTERNATIONAL EQUITY FUND For the Period Ended September 30, 2003*....................... 5.55 0.03(f) 1.35 1.38 -- -- -- For the Year Ended March 31, 2003............................ 7.06 0.02(f) (1.53) (1.51) (0.01) -- (0.01) October 1, 2001 to March 31, 2002**.......................... 6.92 (0.04) 0.53 0.49 (0.35) -- (0.35) INTERNATIONAL SMALL CAPITALIZATION FUND For the Period Ended September 30, 2003*....................... 7.85 0.02(f) 3.16 3.18 -- -- -- For the Year Ended March 31, 2003............................ 8.45 (0.03)(f) (0.52) (0.55) (0.07) -- (0.07) October 1, 2001 to March 31, 2002**.......................... 7.71 (0.02)(f) 0.94 0.92 (0.18) --(g) (0.18) EUROPEAN FUND For the Period Ended September 30, 2003*....................... 7.29 0.07 1.88 1.95 -- -- -- For the Year Ended March 31, 2003............................ 9.71 0.11(f) (2.44) (2.33) (0.09) -- (0.09) October 1, 2001 to March 31, 2002**.......................... 8.82 (0.03) 0.92 0.89 -- -- -- U.S. LARGE/MID CAPITALIZATION LONG/SHORT EQUITY FUND For the Period Ended September 30, 2003*....................... 11.40 (0.07) (0.88) (0.95) -- -- -- For the Year Ended March 31, 2003............................ 10.20 (0.12)(f) 1.31 1.19 -- -- -- October 1, 2001 to March 31, 2002**.......................... 11.17 (0.01)(f) (0.72) (0.73) (0.24) -- (0.24) VALUE LONG/SHORT EQUITY FUND For the Period Ended September 30, 2003*....................... 10.35 (0.06)(f) (0.90) (0.96) -- -- -- For the Year Ended March 31, 2003............................ 8.94 (0.13)(f) 1.54 1.41 -- -- -- October 1, 2001 to March 31, 2002**.......................... 9.56 (0.05)(f) (0.37) (0.42) (0.20) -- (0.20) GLOBAL LONG/SHORT EQUITY FUND For the Period Ended September 30, 2003*....................... 11.71 (0.10) (0.71) (0.81) -- -- -- For the Year Ended March 31, 2003............................ 10.11 (0.18)(f) 1.76 1.58 -- -- -- October 1, 2001 to March 31, 2002**.......................... 11.30 (0.04) (0.77) (0.81) (0.38) -- (0.38)
--------------- * Unaudited. ** From commencement of operations. (a) Total return excludes sales charge. (b) Not annualized for periods less than one year. (c) Annualized for periods less than one year. (d) Includes dividend expense. (e) Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued. (f) Calculated based on the average shares outstanding during the period. (g) Amount less than $0.005.
116 --------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA --------------------------- NET NET INVESTMENT NET ASSET ASSETS, INCOME/(LOSS) VALUE, END OF NET OF REDEMPTION END OF TOTAL PERIOD WAIVERS/ FEES PERIOD RETURN(A),(B) (000'S) REIMBURSEMENTS(C) ---------- --------- ------------- ------- ----------------- CLASS B SHARES U.S. DISCOVERY FUND For the Period Ended September 30, 2003*.................................. $ -- $11.94 26.62% $ 290 (0.40)% For the Year Ended March 31, 2003....... -- 9.43 (14.66)% 151 (0.62)% October 1, 2001 to March 31, 2002**..... -- 11.05 21.93% 58 (0.81)% U.S. LARGE CAPITALIZATION FUND For the Period Ended September 30, 2003*.................................. -- 9.45 14.41% 92 (0.53)% June 19, 2002 to March 31, 2003**....... -- 8.26 (17.34)% 1 (0.07)% ENHANCED 500 FUND For the Period Ended September 30, 2003*.................................. -- 6.81 15.82% 571 (0.14)% For the Year Ended March 31, 2003....... -- 5.88 (23.54)% 52 0.16% October 1, 2001 to March 31, 2002**..... -- 7.75 9.79% 1 (0.24)% INTERNATIONAL EQUITY FUND For the Period Ended September 30, 2003*.................................. -- 6.93 24.86% 13 0.96% For the Year Ended March 31, 2003....... 0.01 5.55 (21.32)% 1 0.31% October 1, 2001 to March 31, 2002**..... -- 7.06 7.26% 1 (1.05)% INTERNATIONAL SMALL CAPITALIZATION FUND For the Period Ended September 30, 2003*.................................. -- 11.03 40.51% 80 0.50% For the Year Ended March 31, 2003....... 0.02 7.85 (6.27)% 28 (0.33)% October 1, 2001 to March 31, 2002**..... -- 8.45 12.12% 1 (0.40)% EUROPEAN FUND For the Period Ended September 30, 2003*.................................. -- 9.24 26.75% 4 1.51% For the Year Ended March 31, 2003....... -- 7.29 (24.07)% 3 1.35% October 1, 2001 to March 31, 2002**..... -- 9.71 10.09% 1 (0.59)% U.S. LARGE/MID CAPITALIZATION LONG/ SHORT EQUITY FUND For the Period Ended September 30, 2003*.................................. -- 10.45 (8.33)% 149 (1.53)% For the Year Ended March 31, 2003....... 0.01 11.40 11.76% 115 (1.06)% October 1, 2001 to March 31, 2002**..... -- 10.20 (6.43)% 1 (0.11)% VALUE LONG/SHORT EQUITY FUND For the Period Ended September 30, 2003*.................................. -- 9.39 (9.28)% 636 (1.24)% For the Year Ended March 31, 2003....... -- 10.35 15.77% 1,436 (1.26)% October 1, 2001 to March 31, 2002**..... -- 8.94 (4.11)% 100 (1.05)% GLOBAL LONG/SHORT EQUITY FUND For the Period Ended September 30, 2003*.................................. -- 10.90 (6.92)% 181 (1.90)% For the Year Ended March 31, 2003....... 0.02 11.71 15.83% 155 (1.54)% October 1, 2001 to March 31, 2002**..... -- 10.11 (6.91)% 1 (0.72)% RATIOS/SUPPLEMENTAL DATA ------------------------------------------------------------------------------- EXPENSES (EXCLUDING EXPENSES EXPENSES DIVIDEND EXPENSE) BEFORE NET OF NET OF PORTFOLIO WAIVERS/ WAIVERS/ WAIVERS/ TURNOVER REIMBURSEMENTS(C),(D) REIMBURSEMENTS(C),(D) REIMBURSEMENTS(C) RATE(E) --------------------- --------------------- ------------------- --------- CLASS B SHARES U.S. DISCOVERY FUND For the Period Ended September 30, 2003*.................................. 2.70% 2.15% 2.15% 48.75% For the Year Ended March 31, 2003....... 5.60% 2.15% 2.15% 98.65% October 1, 2001 to March 31, 2002**..... 10.93% 2.15% 2.15% 78.02% U.S. LARGE CAPITALIZATION FUND For the Period Ended September 30, 2003*.................................. 3.29% 2.00% 2.00% 69.28% June 19, 2002 to March 31, 2003**....... 3.72% 1.87% 1.87% 100.79% ENHANCED 500 FUND For the Period Ended September 30, 2003*.................................. 3.79% 1.77% 1.77% 40.56% For the Year Ended March 31, 2003....... 5.98% 1.75% 1.75% 68.73% October 1, 2001 to March 31, 2002**..... 5.67% 1.75% 1.75% 111.54% INTERNATIONAL EQUITY FUND For the Period Ended September 30, 2003*.................................. 6.05% 2.35% 2.35% 72.08% For the Year Ended March 31, 2003....... 6.10% 2.28% 2.28% 138.85% October 1, 2001 to March 31, 2002**..... 6.09% 2.35% 2.35% 132.84% INTERNATIONAL SMALL CAPITALIZATION FUND For the Period Ended September 30, 2003*.................................. 3.30% 2.50% 2.50% 48.09% For the Year Ended March 31, 2003....... 3.75% 2.51% 2.51% 129.34% October 1, 2001 to March 31, 2002**..... 3.63% 2.50% 2.50% 147.52% EUROPEAN FUND For the Period Ended September 30, 2003*.................................. 5.20% 2.25% 2.25% 43.83% For the Year Ended March 31, 2003....... 6.11% 2.25% 2.25% 170.62% October 1, 2001 to March 31, 2002**..... 7.80% 2.25% 2.25% 90.92% U.S. LARGE/MID CAPITALIZATION LONG/ SHORT EQUITY FUND For the Period Ended September 30, 2003*.................................. 4.21% 3.85% 2.25% 98.67% For the Year Ended March 31, 2003....... 4.61% 3.74% 2.26% 185.66% October 1, 2001 to March 31, 2002**..... 4.23% 3.13% 2.25% 313.22% VALUE LONG/SHORT EQUITY FUND For the Period Ended September 30, 2003*.................................. 3.81% 3.66% 2.75% 32.53% For the Year Ended March 31, 2003....... 3.82% 3.50% 2.75% 209.95% October 1, 2001 to March 31, 2002**..... 3.51% 3.14% 2.75% 126.45% GLOBAL LONG/SHORT EQUITY FUND For the Period Ended September 30, 2003*.................................. 4.55% 3.78% 2.63% 72.00% For the Year Ended March 31, 2003....... 5.14% 3.63% 2.50% 189.09% October 1, 2001 to March 31, 2002**..... 5.08% 3.01% 2.50% 231.34%
117 FINANCIAL HIGHLIGHTS --------------------------------------------------------------------------------
INVESTMENT ACTIVITIES LESS DIVIDENDS FROM ------------------------------------------- ------------------------------------ NET REALIZED NET NET ASSET AND UNREALIZED TOTAL REALIZED VALUE, NET GAINS FROM NET GAINS BEGINNING INVESTMENT (LOSSES) ON INVESTMENT INVESTMENT ON TOTAL OF PERIOD INCOME/(LOSS) INVESTMENTS ACTIVITIES INCOME INVESTMENTS DIVIDENDS --------- ------------- -------------- ---------- ---------- ----------- --------- CLASS C SHARES U.S. LARGE/MID CAPITALIZATION LONG/SHORT EQUITY FUND April 1, 2003 to September 30, 2003 *, **...................... $11.42 $(0.08)(f) $(0.88) $(0.96) $ -- $ -- $ -- VALUE LONG/SHORT EQUITY FUND For the Period Ended September 30, 2003 *...................... 10.36 (0.07)(f) (0.88) (0.95) -- -- -- March 18, 2003 to March 31, 2003 **......................... 10.30 (0.01)(f) 0.07 0.06 -- -- -- GLOBAL LONG/SHORT EQUITY FUND For the Period Ended September 30, 2003 *...................... 11.73 (0.11) (0.70) (0.81) -- -- -- March 17, 2003 to March 31, 2003 **......................... 11.76 (0.01)(f) (0.04) (0.05) -- -- --
--------------- * Unaudited. ** From commencement of operations. (a) Total return excludes sales charge. (b) Not annualized for periods less than one year. (c) Annualized for periods less than one year. (d) Includes dividend expense. (e) Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued. (f) Calculated based on the average shares outstanding during the period. (g) Amount less than $0.005.
118 --------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA --------------------------- NET NET INVESTMENT NET ASSET ASSETS, INCOME/(LOSS) VALUE, END OF NET OF REDEMPTION END OF TOTAL PERIOD WAIVERS/ FEES PERIOD RETURN(A),(B) (000'S) REIMBURSEMENTS(C) ---------- --------- ------------- ------- ----------------- CLASS C SHARES U.S. LARGE/MID CAPITALIZATION LONG/ SHORT EQUITY FUND April 1, 2003 to September 30, 2003 *, **..................................... $ -- $10.46 (8.41)% $241 (1.46)% VALUE LONG/SHORT EQUITY FUND For the Period Ended September 30, 2003 *...................................... -- 9.41 (9.17)% 717 (1.39)% March 18, 2003 to March 31, 2003 **..... -- 10.36 0.58% 14 (1.64)% GLOBAL LONG/SHORT EQUITY FUND For the Period Ended September 30, 2003 *...................................... -- 10.92 (6.91)% 83 (1.91)% March 17, 2003 to March 31, 2003 **..... 0.02 11.73 (0.26)% 76 (1.63)% RATIOS/SUPPLEMENTAL DATA ------------------------------------------------------------------------------- EXPENSES (EXCLUDING EXPENSES EXPENSES DIVIDEND EXPENSE) BEFORE NET OF NET OF PORTFOLIO WAIVERS/ WAIVERS/ WAIVERS/ TURNOVER REIMBURSEMENTS(C),(D) REIMBURSEMENTS(C),(D) REIMBURSEMENTS(C) RATE(E) --------------------- --------------------- ------------------- --------- CLASS C SHARES U.S. LARGE/MID CAPITALIZATION LONG/ SHORT EQUITY FUND April 1, 2003 to September 30, 2003 *, **..................................... 4.18% 3.83% 2.26% 98.67% VALUE LONG/SHORT EQUITY FUND For the Period Ended September 30, 2003 *...................................... 3.97% 3.83% 2.77% 32.53% March 18, 2003 to March 31, 2003 **..... 3.92% 3.24% 2.49% 209.95% GLOBAL LONG/SHORT EQUITY FUND For the Period Ended September 30, 2003 *...................................... 4.56% 3.79% 2.63% 72.00% March 17, 2003 to March 31, 2003 **..... 8.21% 3.10% 2.44% 189.09%
119 NOTES TO FINANCIAL STATEMENTS SEPTEMBER 30, 2003 (UNAUDITED) -------------------------------------------------------------------------------- 1. ORGANIZATION. Barr Rosenberg Series Trust (the "Trust") was established as a Massachusetts business trust under the laws of Massachusetts on April 1, 1988. The Trust is an open-end diversified management investment company consisting of eleven portfolios, ten of which were operational as of September 30, 2003. AXA Rosenberg U.S. Small Capitalization Fund, AXA Rosenberg U.S. Discovery Fund, AXA Rosenberg U.S. Large Capitalization Fund, AXA Rosenberg Enhanced 500 Fund, AXA Rosenberg International Equity Fund, AXA Rosenberg International Small Capitalization Fund, AXA Rosenberg European Fund, AXA Rosenberg U.S. Large/Mid Capitalization Long/Short Equity Fund, AXA Rosenberg Value Long/Short Equity Fund, and AXA Rosenberg Global Long/Short Equity Fund (individually, a "Fund" and collectively the "Funds"). Each Fund is authorized to issue Institutional Shares and Investor Shares. All Funds (except the AXA Rosenberg U.S. Small Capitalization Fund) are authorized to issue Class A Shares and Class B Shares. AXA Rosenberg Value Long/Short Equity Fund, AXA Rosenberg U.S. Large/Mid Capitalization Long/ Short Equity Fund, and AXA Rosenberg Global Long/Short Equity Fund are authorized to issue Class C Shares and 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. 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 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 the last reported sale price, or official closing 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. Security Transactions and Related Investment Income Security transactions are accounted for on trade date, with realized gains or losses on the sale of investments determined by using the identified cost method. Dividend income is recorded on 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. 120 NOTES TO FINANCIAL STATEMENTS SEPTEMBER 30, 2003 (UNAUDITED) -- (CONTINUED) -------------------------------------------------------------------------------- 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, AXA Rosenberg Global Long/Short 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. Repurchase Agreements In a repurchase agreement, a fund buys a security from another party (usually a financial institution) with the agreement that it be sold back in the future. The date, price and other conditions are all specified when the agreement is created. The Funds' repurchase agreements will be fully collateralized by U.S. Government Securities. All collateral is held by the Funds' custodian (or, with tri-party agreements, the agent's bank) and is monitored daily to ensure that its market value is at least equal to the repurchase price under the agreement. Short Sales The AXA Rosenberg Value Long/Short Equity Fund, AXA Rosenberg U.S. Large/Mid Capitalization Long/Short Equity Fund, and AXA Rosenberg Global Long/Short Equity 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, U.S. Government Securities and/or securities held long to sufficiently cover its short position on a daily basis. The collateral for the securities sold short includes the deposits with broker as shown in the Statements of Assets and Liabilities and the securities held long as shown in the Schedules of Portfolio Investments. Securities Lending Under the Security Lending Program, securities held by the AXA Rosenberg U.S. Small Capitalization Fund are loaned by State Street Bank, as agent, to certain brokers (the "Borrowers"). The Borrowers 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 September 30, 2003, the value of securities loaned amounted to $25,436,730 against which cash collateral of $25,684,030 was received. The cash collateral was 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 121 NOTES TO FINANCIAL STATEMENTS SEPTEMBER 30, 2003 (UNAUDITED) -- (CONTINUED) -------------------------------------------------------------------------------- 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 accounting principles generally accepted in the United States of America. These differences are primarily due to differing treatments for foreign currency transactions, and wash sales for book and tax purposes. 3. 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, for each Fund's average net assets at the annual rate of: AXA Rosenberg U.S. Small Capitalization Fund................ 0.90% AXA Rosenberg U.S. Discovery Fund........................... 0.90% AXA Rosenberg U.S. Large Capitalization Fund................ 0.75% AXA Rosenberg Enhanced 500 Fund............................. 0.50% AXA Rosenberg International Equity Fund..................... 0.85% AXA Rosenberg International Small Capitalization Fund....... 1.00% AXA Rosenberg European Fund................................. 0.75% AXA Rosenberg U.S. Large/Mid Capitalization Long/Short Equity Fund............................................... 1.00% AXA Rosenberg Value Long/Short Equity Fund.................. 1.50% AXA Rosenberg Global Long/Short Equity Fund................. 1.50%
The Manager has contractually agreed to waive fees and reimburse the Funds to limit the annual expenses, exclusive of Service Fees and the Distribution and Shareholder Service Fees, as follows: AXA Rosenberg U.S. Small Capitalization Fund................ 1.15% AXA Rosenberg U.S. Discovery Fund........................... 1.15% AXA Rosenberg U.S. Large Capitalization Fund................ 1.00% AXA Rosenberg Enhanced 500 Fund............................. 0.75% AXA Rosenberg International Equity Fund..................... 1.35% AXA Rosenberg International Small Capitalization Fund....... 1.50% AXA Rosenberg European Fund................................. 1.25%
The Manager has agreed to maintain an operating expense ratio for each Fund's average net assets, exclusive of the dividend expense on short sales and the Distribution and Shareholder Service Fees, as follows: AXA Rosenberg U.S. Large/Mid Capitalization Long/Short Equity Fund............................................... 1.25% AXA Rosenberg Value Long/Short Equity Fund.................. 1.75% AXA Rosenberg Global Long/Short Equity Fund*................ 2.00%
--------------- * Prior to August 1, 2003 the Manager agreed to maintain an operating expense ratio, as noted above, at 1.50%. 122 NOTES TO FINANCIAL STATEMENTS SEPTEMBER 30, 2003 (UNAUDITED) -- (CONTINUED) -------------------------------------------------------------------------------- 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 ended September 30, 2003, the reimbursement that may potentially be made by the Funds is as follows:
EXPIRES EXPIRES MARCH 31, 2004 MARCH 31, 2005 -------------- -------------- AXA Rosenberg U.S. Small Capitalization Fund........... $331,657 $472,077 AXA Rosenberg U.S. Discovery Fund...................... 117,899 238,274 AXA Rosenberg U.S. Large Capitalization Fund........... -- 143,841 AXA Rosenberg Enhanced 500 Fund........................ 118,977 140,189 AXA Rosenberg International Equity Fund................ 220,893 272,890 AXA Rosenberg International Small Capitalization Fund.................................................. 273,849 352,726 AXA Rosenberg European Fund............................ 198,718 257,297 AXA Rosenberg U.S. Large/Mid Capitalization Long/Short Equity Fund........................................... 88,373 152,371 AXA Rosenberg Value Long/Short Equity Fund............. 178,679 312,059 AXA Rosenberg Global Long/Short Equity Fund............ 161,003 230,466
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 its administration and operation. The Administrator is entitled to a complex level fee, computed daily and paid monthly, based upon the following schedule: 0.00% of average net assets from $0 to $25 million, 0.09% of average net assets from $25 million to $500 million, 0.07% on the next $500 million of average net assets, and 0.04% of average net assets over $1 billion. BISYS also serves the Funds as fund accountant and transfer agent. Under the terms of separate agreements, BISYS is entitled to receive a fixed fee per fund for accounting and a per account fee, subject to a minimum charge, for transfer agent services. The Trust has adopted Distribution and Shareholder Service Plans with respect to its Investor Shares, Class A Shares, Class B Shares, and Class C Shares pursuant to Rule 12b-1 under the 1940 Act. The Investor Shares, Class A Shares, Class B Shares, and Class C 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, Class B Shares, and Class C Shares, respectively. 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, up to 1.00% of the respective average daily net assets of the Class B Shares, and up to 1.00% of the respective average daily net assets of the Class C 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. In addition, the Trustees have authorized the Fund to pay up to 0.05% of its average daily net assets attributable to Adviser Shares for sub-transfer services in connection with such shares. Certain officers and a Trustee of the Trust are affiliated with the Manager or Administrator. The Trust does not pay any compensation to officers or Trustees of the Trust other than those Trustees who are not interested persons of the Trust or Manager. 4. EARLY REDEMPTION FEE. For the Funds, certain shares purchased on or after July 30, 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 123 NOTES TO FINANCIAL STATEMENTS SEPTEMBER 30, 2003 (UNAUDITED) -- (CONTINUED) -------------------------------------------------------------------------------- remaining shareholders to defray Fund portfolio transaction expenses and facilitate portfolio management. For the period ended September 30, 2003, the AXA Rosenberg U.S. Small Capitalization Fund, AXA Rosenberg International Small Capitalization Fund, AXA Rosenberg Value Long/Short Equity Fund, AXA Rosenberg U.S. Large/Mid Capitalization Long/ Short Equity Fund, AXA Rosenberg International Equity Fund, and AXA Rosenberg Global Long/Short Equity Fund, earned early redemption fees in the amount of $66,508, $75,862, $188,332, $21,989, $20,384 and $16,859, respectively. Such amounts are included in the cost of shares redeemed, which are recorded as net amounts. 5. SECURITY PURCHASES AND SALES. For the period ended September 30, 2003, purchases and sales of securities (excluding short-term securities) were as follows:
PURCHASES SALES ------------ ------------ AXA Rosenberg U.S. Small Capitalization Fund........... $468,096,951 $335,318,812 AXA Rosenberg U.S. Discovery Fund...................... 38,562,376 17,764,920 AXA Rosenberg U.S. Large Capitalization Fund........... 33,941,730 13,432,024 AXA Rosenberg Enhanced 500 Fund........................ 2,838,637 2,010,886 AXA Rosenberg International Equity Fund................ 6,125,353 5,371,480 AXA Rosenberg International Small Capitalization Fund.................................................. 50,532,248 25,576,734 AXA Rosenberg European Fund............................ 3,034,160 2,879,720 AXA Rosenberg U.S. Large/Mid Capitalization Long/Short Equity Fund........................................... 34,350,645 47,025,795 AXA Rosenberg Value Long/Short Equity Fund............. 37,698,395 87,389,101 AXA Rosenberg Global Long/Short Equity Fund............ 15,470,969 21,094,589
6. LINE OF CREDIT. A loan agreement to a maximum amount of 33.33% of total net assets for the AXA Rosenberg Value Long/Short Equity 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, AXA Rosenberg European Fund, and the AXA Rosenberg U.S. Large Capitalization 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 applicable Funds based on net assets. There were no borrowings on the line of credit for the period ended September 30, 2003. 7. FEDERAL INCOME TAX INFORMATION. As of the last tax year end of March 31, 2003, the following funds had net capital loss carryforwards which are available to offset future realized gains.
EXPIRES -------------------------------------------------------------------------------------- 2005 2006 2007 2008 2009 2010 2011 -------- -------- ---------- ----------- ----------- ---------- ---------- AXA Rosenberg U.S. Small Capitalization Fund...... $ -- $ -- $ -- $ -- $ -- $ -- $ 573,150 AXA Rosenberg U.S. Discovery Fund........... -- -- -- -- -- 13,615 202,744 AXA Rosenberg U.S. Large Capitalization Fund...... -- -- -- -- -- -- 780,252 AXA Rosenberg Enhanced 500 Fund..................... -- -- -- -- 130,342 407,144 451,611 AXA Rosenberg International Equity Fund.............. 261,584 282,014 -- 7,313 112,715 1,280,844 1,715,777 AXA Rosenberg International Small Capitalization Fund..................... -- -- -- -- -- 5,837,140 2,715,962 AXA Rosenberg European Fund..................... -- -- -- -- -- 106,726 569,359 AXA Rosenberg U.S. Large/Mid Capitalization Long/Short Equity Fund... -- -- -- 429,084 -- 659,336 -- AXA Rosenberg Value Long/Short Equity Fund... -- -- 6,208,668 24,459,569 11,040,106 -- -- AXA Rosenberg Global Long/Short Equity Fund... -- -- -- -- -- 397,465 -- EXPIRES ----------- TOTAL ----------- AXA Rosenberg U.S. Small Capitalization Fund...... $ 573,150 AXA Rosenberg U.S. Discovery Fund........... 216,359 AXA Rosenberg U.S. Large Capitalization Fund...... 780,252 AXA Rosenberg Enhanced 500 Fund..................... 989,097 AXA Rosenberg International Equity Fund.............. 3,660,247 AXA Rosenberg International Small Capitalization Fund..................... 8,553,102 AXA Rosenberg European Fund..................... 676,085 AXA Rosenberg U.S. Large/Mid Capitalization Long/Short Equity Fund... 1,088,420 AXA Rosenberg Value Long/Short Equity Fund... 45,708,343 AXA Rosenberg Global Long/Short Equity Fund... 397,465
124 NOTES TO FINANCIAL STATEMENTS SEPTEMBER 30, 2003 (UNAUDITED) -- (CONTINUED) -------------------------------------------------------------------------------- 8. SUBSEQUENT EVENTS. On November 4, 2003 Charles Schwab & Co., Inc. and AXA Rosenberg Investment Management LLC announced that Schwab's asset management division, Charles Schwab Investment Management, Inc., had reached agreement with AXA Rosenberg to adopt the Trust, subject to the Trust's approval. Shareholders of AXA Rosenberg Funds will be sent proxy statements detailing the terms of the adoption in December 2003. A shareholder meeting is scheduled on January 28, 2004, and if the proxy is approved, Charles Schwab Investment Management, Inc. would become the investment adviser and distributor, and AXA Rosenberg Investment Management LLC would be retained as investment sub-adviser. Also, as of November 7, 2003 the Class A Shares, Class B Shares and Class C Shares are no longer offered by the Trust. This summary is qualified by the more detailed information set forth in the proxy statement. No assurances can be made that matters related to the adoption will be approved by shareholders of any Fund, or that any of the transactions will be consummated. 125 AXA ROSENBERG FUNDS ADVISER AXA Rosenberg Investment Management LLC Four Orinda Way, Building E Orinda, California 94563 ADMINISTRATOR, TRANSFER AGENT AND SHAREHOLDER SERVICING AGENT BISYS Fund Services Ohio, Inc. 3435 Stelzer Road Columbus, Ohio 43219 DISTRIBUTOR Barr Rosenberg Funds Distributor, Inc. c/o BISYS Fund Services, Inc. 3435 Stelzer Road Columbus, Ohio 43219 CUSTODIANS OF FUNDS State Street Bank and Trust Company Mutual Funds Division Boston, Massachusetts 02102 Custodial Trust Company 101 Carnegie Center Princeton, New Jersey 08540 INDEPENDENT ACCOUNTANTS PricewaterhouseCoopers LLP 333 Market Street San Francisco, California 94105 COUNSEL Ropes & Gray One International Place Boston, Massachusetts 02110 This report is for the information of the shareholders of AXA Rosenberg Funds (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. (AXA-0034) (9/03) [AXA ROSENBERG LOGO] ITEM 2. CODE OF ETHICS. Disclose whether, as of the end of the period covered by the report, the registrant has adopted a code of ethics that applies to the registrant's principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party. If the registrant has not adopted such a code of ethics, explain why it has not done so. NOT APPLICABLE - ONLY FOR ANNUAL REPORTS. ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT. (a) (1) Disclose that the registrant's board of directors has determined that the registrant either: (i) Has at least one audit committee financial expert serving on its audit committee; or (ii) Does not have an audit committee financial expert serving on its audit committee. (2) If the registrant provides the disclosure required by paragraph (a)(1)(i) of this Item, it must disclose the name of the audit committee financial expert and whether that person is "independent." In order to be considered "independent" for purposes of this Item, a member of an audit committee may not, other than in his or her capacity as a member of the audit committee, the board of directors, or any other board committee: (i) Accept directly or indirectly any consulting, advisory, or other compensatory fee from the issuer; or (ii) Be an "interested person" of the investment company as defined in Section 2(a)(19) of the Act (15 U.S.C. 80a- 2(a)(19)). (3) If the registrant provides the disclosure required by paragraph (a)(1)(ii) of this Item, it must explain why it does not have an audit committee financial expert. NOT APPLICABLE - ONLY FOR ANNUAL REPORTS. ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES. (a) Disclose, under the caption Audit Fees, the aggregate fees billed for each of the last two fiscal years for professional services rendered by the principal accountant for the audit of the registrant's annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years. (b) Disclose, under the caption Audit-Related Fees, the aggregate fees billed in each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant's financial statements and are not reported under paragraph (a) of this Item. Registrants shall describe the nature of the services comprising the fees disclosed under this category. (c) Disclose, under the caption Tax Fees, the aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning. Registrants shall describe the nature of the services comprising the fees disclosed under this category. (d) Disclose, under the caption All Other Fees, the aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item. Registrants shall describe the nature of the services comprising the fees disclosed under this category. (e) (1) Disclose the audit committee's pre-approval policies and procedures described in paragraph (c)(7) of Rule 2-01 of Regulation S-X. (2) Disclose the percentage of services described in each of paragraphs (b) through (d) of this Item that were approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X. (f) If greater than 50 percent, disclose the percentage of hours expended on the principal accountant's engagement to audit the registrant's financial statements for the most recent fiscal year that were attributed to work performed by persons other than the principal accountant's full-time, permanent employees. (g) Disclose the aggregate non-audit fees billed by the registrant's accountant for services rendered to the registrant, and rendered to the registrant's investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for each of the last two fiscal years of the registrant. (h) Disclose whether the registrant's audit committee of the board of directors has considered whether the provision of nonaudit services that were rendered to the registrant's investment adviser (not including any subadviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant's independence. ONLY EFFECTIVE FOR ANNUAL REPORTS WITH PERIODS ENDING ON OR AFTER DECEMBER 15, 2003. ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS. NOT APPLICABLE. ITEM 6. [RESERVED] ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. A closed-end management investment company that is filing an annual report on this Form N-CSR must, unless it invests exclusively in non-voting securities, describe the policies and procedures that it uses to determine how to vote proxies relating to portfolio securities, including the procedures that the company uses when a vote presents a conflict between the interests of its shareholders, on the one hand, and those of the company's investment adviser; principal underwriter; or any affiliated person (as defined in Section 2(a)(3) of the Investment Company Act of 1940 (15 U.S.C. 80a-2(a)(3)) and the rules thereunder) of the company, its investment adviser, or its principal underwriter, on the other. Include any policies and procedures of the company's investment adviser, or any other third party, that the company uses, or that are used on the company's behalf, to determine how to vote proxies relating to portfolio securities. NOT APPLICABLE. ITEM 8. [RESERVED] ITEM 9. CONTROLS AND PROCEDURES. (a) Disclose the conclusions of the registrant's principal executive and principal financial officers, or persons performing similar functions, regarding the effectiveness of the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Act (17 CFR 270.30a-3(c))) as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Exchange Act (17 CFR 240.13a-15(b) or 240.15d-15(b)). IN THE OPINION OF THE PRINCIPAL EXECUTIVE OFFICER AND PRINCIPAL FINANCIAL OFFICER, BASED ON THEIR EVALUATION, THE REGISTRANT'S DISCLOSURE CONTROLS AND PROCEDURES ARE ADEQUATELY DESIGNED AND ARE OPERATING EFFECTIVELY TO ENSURE (I) THAT MATERIAL INFORMATION RELATING TO THE REGISTRANT, INCLUDING ITS CONSOLIDATED SUBSIDIARIES, IS MADE KNOWN TO THEM BY OTHERS WITHIN THOSE ENTITIES, PARTICULARLY DURING THE PERIOD IN WHICH THIS REPORT IS BEING PREPARED; AND (II) THAT INFORMATION REQUIRED TO BE DISCLOSED BY THE REGISTRANT ON FORM N-CSR IS RECORDED, PROCESSED, SUMMARIZED AND REPORTED WITHIN THE TIME PERIODS SPECIFIED IN THE SECURITIES AND EXCHANGE COMMISSION'S RULES AND FORMS. (b) Disclose any change in the registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the Act (17 CFR 270.30a-3(d)) that occurred during the registrant's last fiscal half-year (the registrant's second fiscal half-year in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting. THERE WERE NO CHANGES IN THE REGISTRANT'S INTERNAL CONTROL OVER FINANCIAL REPORTING THAT OCCURRED DURING THE REGISTRANT'S MOST RECENT FISCAL HALF-YEAR (THE REGISTRANT'S SECOND FISCAL HALF-YEAR IN THE CASE OF AN ANNUAL REPORT) THAT HAVE MATERIALLY AFFECTED OR ARE REASONABLY LIKELY TO MATERIALLY AFFECT, THE REGISTRANT'S INTERNAL CONTROL OVER FINANCIAL REPORTING. ITEM 10. EXHIBITS. (a) File the exhibits listed below as part of this Form. Letter or number the exhibits in the sequence indicated. (a)(1) Any code of ethics, or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy the Item 2 requirements through filing of an exhibit. NOT APPLICABLE - ONLY EFFECTIVE FOR ANNUAL REPORTS. (a)(2) A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2 under the Act (17 CFR 270.30a-2). CERTIFICATIONS PURSUANT TO SECTION 302 OF THE SARBANES-OXLEY ACT OF 2002 ARE ATTACHED HERETO. (b) A separate or combined certification for each principal executive officer and principal officer of the registrant as required by Rule 30a-2(b) under the Act of 1940. CERTIFICATIONS PURSUANT TO SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002 ARE ATTACHED HERETO. SIGNATURES Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. (Registrant) Barr Rosenberg Series Trust --------------------------------------------------------------- By (Signature and Title)* /s/ Troy A. Sheets Troy A. Sheets, CFO ---------------------------------------------------- Date December 5, 2003 ----------------------------------------------------- Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. By (Signature and Title)* /s/ Troy A. Sheets Troy A. Sheets, CFO ---------------------------------------------------- Date December 5, 2003 ----------------------------------------------------- By (Signature and Title)* /s/ Edward H. Lyman Edward H. Lyman, President ---------------------------------------------------- Date December 5, 2003 ----------------------------------------------------- * Print the name and title of each signing officer under his or her signature.