Vice President, Relationship Manager

Transcription

1 Global Research Equity State Universities Retirement System of Illinois October 23, 2008 Representing Wellington Management Cheryl Duckworth, CFA Alexander Grant Partner, Director of Research Portfolios Vice President, Relationship Manager Wellington Management Company, llp

2 Contents Section One Section Two Section Three Wellington Management Company, llp Update Global Research Equity Appendix _

3 Wellington Management Unique Organization Culture Client oriented Performance driven Professional and collegial Humanistic A true partnership Highest standards ethics and integrity Sustainable competitive advantage As of June 30, 2008 $550 billion in client assets 66% equity, 34% fixed income 518 Investment Professionals Over 2,000 employees Ownership Structure Private partnership since 1979 Stable Long-term orientation Attract, retain, and motivate talent Align interests with clients Investment Platform Multiple investment approaches and research disciplines Empowered portfolio teams Independent, proprietary research Career analysts Freedom to disagree Global Business Model Investment management only Research for client portfolios only People-intensive, not capital-intensive Diversified Global _17.1/G1039 1

4 State Universities Retirement System of Illinois Relationship Review In May 2002, the State Universities Retirement System of Illinois hired Wellington Management Company, llp to manage a portion of its pension fund assets in a Global Research Equity portfolio, managed by Global Industry Analysts Market value as of September 30, 2008 $326,963, _17.2 2

5 State Universities Retirement System of Illinois Global Research Equity Portfolio Investment Returns Total Annualized Returns (US$) Periods Ended June 30, 2008 Since 2Q08 1 Yr 3 Yrs 5 Yrs Inception* Global Research Equity 0.0% -7.2% 9.5% 12.8% 9.6% MSCI World Index MSCI World Index (Net) MSCI All Country World Index Alpha vs MSCI (Net)** *Inception date 5/31/02 **Values listed in bps Returns for periods less than one year are not annualized _17.3 3

6 State Universities Retirement System of Illinois Global Research Equity Portfolio Investment Returns Total Annualized Returns (US$) Periods Ended September 30, 2008 Since 3Q08 1 Yr 3 Yrs 5 Yrs Inception* Global Research Equity -16.8% -26.7% 0.7% 8.0% 6.1% MSCI World Index MSCI World Index (Net) MSCI All County World Index Alpha vs MSCI (Net)** *Inception date 5/31/02 **Values listed in bps Returns for periods less than one year are not annualized _17.4 4

7 Research Portfolios Update 3Q08 US financial sector contagion spread across all sectors and regions around the world Downturn is magnified by illiquidity, de-leveraging and forced selling Rules are changing with regard to the role of government in the private sector We have witnessed a severe disconnect between fundamentals and stock prices Relative performance hurt by the wave of indiscriminate selling Portfolios are positioned to take advantage of the substantial opportunities that have arisen Portfolio structure and team have not changed _

8 Global Research Equity Portfolio People Process Results _

9 Investment Professionals Depth and Experience 57 Global Industry Analysts 16 years average experience United States 45 Global Industry Analysts 22 Research Associates London 8 Global Industry Analysts 4 Research Associates Hong Kong 3 Global Industry Analysts Singapore 1 Global Industry Analyst GIA headcount as of 9/30/ _17.7/G1299 7

10 Global Research Equity People 57 Global Industry Analysts Career position with senior status 18 Partners 15 Associates Global mandate and perspective Turnover of 5 7% _

11 Global Industry Research Department Experienced Team of Analysts Managing in Global Research Equity Industry Coverage Consumer/Services Nick Booth Marc Bosworth Belinda Cavazos Amit Desai Jin Jeong Sabre Mayhugh Michael Neft Jawan Parker Steven Richter Michael Sayers Scott Utzinger Energy/Utilities Mark Beckwith Jayant Bhutani Matthew Fallon Alan Hsu Greg LeBlanc Thomas Levering Mark Viviano Global Industry Analysts highlighted in bold manage in GRE 9/30/08 Technology/Telecom John Averill Archana Basi Nicolas Boullet Adam Gelhausen George Gianarikas Bruce Glazer Anita Killian Michael Masdea Scott Simpson Eric Stromquist Mark Vincent Industrial/Capital Equipment Chris Avery Rob Hayes Bill Ogrodnick Claude Staehly Suzanne Stefany Matthew Stover Michel Sznajer Keith White Will Wrightson Health Care Robert Deresiewicz Ann Gallo Jean Hynes Kirk Mayer Ed Owens Ingrid Yin Finance Jonathan Ashe Jennifer Berg Devashish Chopra John Coffey Yolanda Courtines Andre Desautels Andrea Finger Andrew Heiskell Jim Hoffmann Mark Lynch Halsey Morris Mary Pryshlak Bradford Stoesser Other Resources 26 Research Associates _17.9/G1299 9

12 Philosophy and Process Fundamental research is the foundation of investment management Managed by an experienced team of career analysts Sleeve architecture focuses on alpha generation through stock selection Risk control achieved through portfolio structure Diversified and fully invested Consistent philosophy and process over 18 years of managing Research portfolios _

13 Global Research Equity Portfolio Portfolio Construction Investment Objective: outperform the MSCI World Index Benchmark Global Industry Analysts Portfolio Industry weights close to benchmark Analysts highest conviction ideas Diversified and fully invested Country weights result of bottom-up stock selection Pharmaceuticals Medical Technology Telecom Services Hynes Mayer Basi Hynes: Pharmaceuticals Mayer: Medical Technology Basi: Telecom Services Berg: Capital Markets Glazer: Computer Services Capital Markets Berg Computer Services Glazer Other Analyst Portfolios _17.11/G

14 State Universities Retirement System of Illinois Performance Attribution: One Year Ended June 30, 2008 Portfolio: -7.2%; MSCI World Index (Net): -10.7%; MSCI ACWI: -8.8% 200 Total Value Added (Basis Points) Materials Financials Cons Staples Energy Utilities Info Technology Telecom Svcs Cons Discretionary Industrials Health Care Selected Outperforming Sectors Materials Financials Selected Underperforming Sectors Health Care Industrials Stocks Contributing to Performance Vale, Agrium Hong Kong Exchanges, Wachovia* Stocks Detracting from Performance UnitedHealth, Schering-Plough Gol Linhas Aereas, easyjet *Stock was held in the benchmark, but was not held in the Portfolio Attribution is measured against the MSCI World Index _

15 State Universities Retirement System of Illinois Performance Attribution: One Year Ended September 30, 2008 Portfolio: -26.7%; MSCI World (Net): -26.0%; MSCI ACWI: -26.5% 60 Total Value Added (Basis Points) Industrials Info Technology Cons Discretionary Telecom Svcs Utilities Financials Energy Cons Staples Health Care Materials Selected Outperforming Sectors Industrials Info Technology Selected Underperforming Sectors Materials Health Care Stocks Contributing to Performance Lockheed Martin, General Electric* QUALCOMM, Visa Stocks Detracting from Performance Vale, Rhodia Johnson & Johnson*, Schering-Plough *Stock was held in benchmark, but was not held in the Portfolio Attribution is measured against the MSCI World Index _

16 State Universities Retirement System of Illinois Global Research Equity Portfolio Top Ten Active Positions as of September 30, 2008 Portfolio Benchmark Active Company Industry Weight* Weight Weight Japan Tobacco Food, Beverage & Tobacco 2.3% 0.1% 2.3% Vale Materials Nestlé Food, Beverage & Tobacco Lockheed Martin Capital Goods ExxonMobil Energy Danaher Corp Capital Goods Ford Motor Company Automobiles & Components E.ON Utilities Canadian Natural Resources Energy Swedish Match Food, Beverage & Tobacco Total Number of Equity Names 123 *Percent of equities Total active weight is absolute value Totals may not add due to rounding _

17 State Universities Retirement System of Illinois Stock Selection Drives Country Weights As of September 30, Developed Americas 15 Global Research Equity Developed Europe Developed Asia Emerging Markets MSCI World Percent 20 5 Canada United States Other Sweden United Kingdom Switzerland France Germany Japan Other Singapore Brazil Russia Other Taiwan _17.15/

18 State Universities Retirement System of Illinois Global Research Equity Portfolio Portfolio Characteristics as of September 30, 2008 Global Research Equity MSCI World Size Asset-weighted Market Cap $51.3 bil $67.3 bil Greater than $50 billion 29% 41% $10 50 billion $2 10 billion Less than $2 billion 1 1 Valuation Projected P/E 9.2x 10.3x Projected EPS Growth (3 5 Yr) 11.5% 9.6% Price/Book 2.1x 1.9x Yield 2.1% 3.1% Risk Projected Beta 1.10 Projected R Projected Tracking Risk 3.6% Turnover 91% Totals may not add due to rounding _