Axa Rosenberg Equity Alpha Trust ______
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AXA ROSENBERG EQUITY ALPHA TRUST _____________________________________________________________________________ ANNUAL REPORT AND AUDITED FINANCIAL STATEMENTS FOR THE FINANCIAL YEAR ENDED MARCH 31, 2009 (An umbrella type open-ended Unit Trust authorised in Ireland by the Financial Regulator pursuant to the provisions of the Regulations) AXA ROSENBERG EQUITY ALPHA TRUST TABLE OF CONTENTS Page Directory 2 Statement of Manager’s Responsibilities 3 Investment Manager’s Report 4 Trustee’s Report 16 Independent Auditor’s Report 17 Schedule of Investments 18 Primary Statements: 164 Profit and Loss Account Balance Sheet Statement of Changes in Net Assets Attributable to Holders of Redeemable Participating Units Notes to the Financial Statements 187 Other Information (unaudited) 242 Total Expense Ratios (unaudited) 244 Portfolio Turnover Rates (unaudited) 245 Statement of Portfolio Changes (unaudited) 246 AXA ROSENBERG EQUITY ALPHA TRUST DIRECTORY Manager Directors of the Manager Trustee AXA Rosenberg Management The Directors of the Manager, whose State Street Custodial Services Ireland Limited Business address is that of the (Ireland) Limited Guild House Manager are as follows: Guild House Guild Street Guild Street International Financial Catherine Adibi International Financial Services Centre David Cooke* Services Centre Dublin 1 Jean-Benoit Naudin Dublin 1 Ireland Vincent Ordonneau Ireland Jennifer Paterson David Shubotham* Gideon Smith Mark Summerbell Simon Vanstone William Wiebe Investment Manager Administrator, Registrar and Listing Sponsor Transfer Agent AXA Rosenberg Investment State Street Fund Services J&E Davy Management Limited (Ireland) Limited Davy House 9A Devonshire Square Guild House 49 Dawson Street London, EC2M 4YY Guild Street Dublin 2 United Kingdom International Financial Ireland Services Centre Sub-Investment Managers Dublin 1 Independent Auditors Ireland AXA Rosenberg Investment PricewaterhouseCoopers Management LLC Sub-Administrator One Spencer Dock 4 Orinda Way, Bldg E North Wall Quay Orinda, CA 94563 HSBC Institutional Trust Services Dublin 1 United States (Asia) Limited Ireland 1 Queen’s Road Central, AXA Rosenberg Investment Hong Kong Management Limited (Japan) NBF Platinum Tower 14F Legal Advisers to the Trust Prime Broker** 1-17-3 Shirokane Minato-ku as to Irish Law Morgan Stanley & Co. International Plc Tokyo 108-0072 William Fry 26 Cabot Square Japan Solicitors Canary Wharf Fitzwilton House London E144QA AXA Rosenberg Investment Wilton Place United Kingdom Management Asia Pacific Limited Dublin 2 1 George Street #14-02/03 Ireland Singapore 049145 Singapore as to English Law Stephenson Harwood One St Pauls Churchyard London, EC4M 8SH United Kingdom * Denotes Irish non-executive (independent) Director. **Morgan Stanley was Prime Broker for the 130/30 Funds which terminated during the period. 2 AXA ROSENBERG EQUITY ALPHA TRUST STATEMENT OF MANAGER’S RESPONSIBILITIES AXA Rosenberg Management Ireland Limited (the “Manager”), as Manager of AXA Rosenberg Equity Alpha Trust, (the “Trust”), is responsible for preparing the Annual Report and the financial statements in accordance with applicable Irish law and Generally Accepted Accounting Practice in Ireland including the accounting standards issued by the Accounting Standards Board and published by the Institute of Chartered Accountants in Ireland. In preparing these financial statements the Manager is required to: • Select suitable accounting policies and apply them consistently; • Make judgements and estimates that are reasonable and prudent; • Prepare the financial statements on the going concern basis unless it is inappropriate to presume that the Trust will continue in operation. The Manager is responsible for keeping proper books of account which disclose with reasonable accuracy at any time the financial position of the Trust and to enable it to ensure that the financial statements are prepared in accordance with accounting standards generally accepted in Ireland and comply with the provisions of the Trust Deed and the European Communities (Undertakings for Collective Investment in Transferable Securities) Regulations 2003, (as amended) (the “UCITS Regulations”). The Manager has appointed State Street Fund Services (Ireland) Ltd for the purpose of maintaining proper books of account. Accordingly, the books of account are kept at State Street Fund Services (Ireland) Ltd, Guild House, Guild Street, IFSC, Dublin 1, Ireland. The Manager is also responsible for safeguarding the assets of the Trust. In this regard it has entrusted the assets of the Trust to State Street Custodial Services (Ireland) Limited for safekeeping in accordance with the Trust Deed. The Manager has general responsibility for taking reasonable steps for the prevention and detection of fraud and other irregularities. The Manager is responsible for the maintenance and integrity of the corporate and financial information included on the Trust’s website. Legislation in the Republic of Ireland governing the preparation and dissemination of the financial statements may differ from legislation in other jurisdictions. 3 AXA ROSENBERG EQUITY ALPHA TRUST INVESTMENT MANAGER’S REPORT Period covering twelve months to March 31, 2009 1. Market Commentary & Volatility Global equity markets suffered a significant decline in the 12-months to end March, 2009 with the MSCI World Index down 31.0% in euro terms. Volatility in equity markets increased markedly during the first three quarters of the review period, given a series of extraordinary market events and only marginally eased going into 2009. Risk aversion followed a similar pattern over the period with investors increasingly seeking exposure to defensive areas of the market finishing with another sector rotation out of defensives and in to cyclicals during March, 2009. Smaller companies underperformed their large cap peers and emerging markets underperformed developed regions. Throughout the early part of the review period industry themes dominated with Energy and Materials leading markets as commodity prices peaked at new highs. Higher producer and consumer prices for food and fuel squeezed household budgets driving fears of a consumer-driven slowdown. This reversed mid-way through the review period with Energy and Materials stocks experiencing some of the largest declines amid falling oil prices and slowing global demand. Earlier concerns about inflation rapidly switched to deflationary fears as investors adjusted to the contracting global economy and the reality that most economies were now firmly in recession, the first synchronized global downturn in some 50 years. The turmoil in financial markets witnessed since September last year has been extraordinary. Financial institutions recorded losses and write-downs in-excess of a trillion US dollars in the year. Not surprisingly, Financials delivered the weakest performance. The scale and synchronisation of intervention by central banks, regulators and legislators to prevent a wide- scale economic collapse was unprecedented. Nevertheless, the casualty list among Financials was severe including Bear Stearns, AIG, Lehman Brothers, Northern Rock and Royal Bank of Scotland. The uncovering of the Bernard Madoff fraud in December dealt another blow to the troubled sector. In an unprecedented move, the US Federal Reserve established a target range for interest rates between 0.0% - 0.25% by the end of calendar year 2008 after cutting rates decisively throughout last year in an effort to stimulate economic recovery. The European Central Bank and Bank of England, along with several other central banks globally, also lowered base rates in quick succession; taking UK base rates, for example, to their lowest ever level. The Monetary policy changes late in the year boosted sentiment, but drove significant currency volatility, exacerbating sterling’s decline against major currencies. Towards the end of the review period, the 2008 earnings season got underway with earnings, globally, down 29% from their peak in 2007. In addition, many firms were issuing pessimistic guidance for 2009 or, in some instances, no guidance at all given the uncertain environment. The emphasis, therefore, remained firmly on companies that could demonstrate a degree of earnings certainty of which investors were prepared to pay an ever increasing premium. Recognition of the global downturn prompted further rapid and sharp rotations across sectors and swift shifts in sentiment on specific stocks, often in the absence of any price discipline or regard for earnings or fundamentals. Although all sectors delivered negative returns over the 12 months, historically more defensive areas held up better as investors moved rapidly to shed perceived riskier investments. As a result, Health Care held out best over the year (although still down some 17% on local currency terms) with Telecoms and Consumer Staples also outperforming. Unsurprisingly, the Financials sector was hardest hit, falling 54% over the year, with Industrials and Materials also suffering severely in the downturn. 90% M a rke t vo latility (lhs) V aluation dispersion (rhs) 75% 80% d 70% 65% 60% 55% 50% Collapse of Bear Stearns 45% 40% BP Dispersion BP 30% 35% 20% Std Deviation of daily returns over 20 days - annualise days 20 over returns daily of Deviation Std 25% 10% 0% 15% 99 00 01 02 03 04 05 06 07 08 4 AXA ROSENBERG EQUITY ALPHA TRUST INVESTMENT MANAGER’S REPORT (continued) Period covering twelve months to March 31, 2009 1. Market Commentary & Volatility (continued) The chart