Presentation by MFS Investment Management

Transcription

11. Presentation by MFS Investment Management
(Large Value) - Annual Performance Review as
of December 31,2010
11
Presented
Presented to
to
® Large
Prospect
MFS
Name
Cap
Value Equity
Los
Angeles
Department
of Water and Power
MFS®Quarter
First
Large Cap
2009Value Equity
First Quarter 2009
13 April 2011
FOR INSTITUTIONAL USE ONLY
MFS Institutional Advisors, Inc.
22191.1
Presenters
Katrina (Kate) Mead, CFA
- Investment Officer
- Institutional Equity Portfolio Manager
- As an Institutional Portfolio Manager, participates in the research process and strategy discussions.
Assesses portfolio risk, customizes portfolios to client objectives and guidelines, and manages daily
cash flows. Communicates investment policy, strategy, and positioning.
- Joined MFS in 1997; positions include Equity Research Analyst.
- Previous experience includes 2 years as Financial Analyst - Real Estate Advisory Services at
Coopers & Lybrand, Financial Advisory Services.
- Affiliations include CFA Institute, Boston Security Analysts Society, Inc.
- University of Pennsylvania, MBA
- Villanova University, BS, magna cum laude
Carolyn M. Lucey, CIMA
- Director, Relationship Management
- As a Relationship Manager, responsible for the overall client experience including communicating
portfolio positioning, strategy, and performance attribution and ensuring that our clients’ ongoing service
needs are met.
- Joined MFS in 1998; positions include Investment Director for Private Portfolio Services; Vice President,
Director of Product Management; Assistant Vice President, Domestic Equity Product Manager.
- Previous experience includes 1 year as Product Manager at Van Kampen American Capital; 6 years as
Product Manager at John Hancock Funds; 2 years as Associate at Putnam Investments.
- Affiliations include Investment Management Consultants Association (IMCA).
- Manhattanville College, BA
MFS® Large Cap Value Equity
299-I-C-LCV-28FEB11.2
Corporate overview
• Founded in 1924
Heritage
• Majority owned by Sun Life Financial, Inc. since 1982
• Up to 22% employee ownership available
Global presence and
research depth
• Manage $220 billion in assets for clients in 75 countries
• 193 equity and fixed income investment professionals
• Collaborative, research-intensive investment approach
• Capacity management
Product integrity
• Emphasis on quality
• Risk management
As of 31-Dec-10.
299-I-C-LCV-28FEB11.1
19139.2
1
Business profile
$220 billion total MFS AUM
Clients
Diversified client and asset base
Assets
US equity
$78 billion
Non-US equity
$91 billion
Fixed income
$51 billion
Retail
investors (50%)
Institutional business by client type and region1
Institutional
investors (50%)
Regions
Japan (12%)
Client types
• Defined benefit/defined contribution
• Endowment and foundation
Australia/
New Zealand (16%)
North America (34%)
• Sovereign wealth fund/government agency
• Institutional platform/insurance subadvisory
Middle East/Asia (16%)
Europe (22%)
1
As of 31-Dec-10.
Represents global clients in institutional vehicles only.
299-I-C-LCV-28FEB11.2
19139.2
2
MFS investment professionals
Chairman and Chief Executive Officer
Robert Manning1
President, Chief Investment Officer, and Director of Global Research – Michael Roberge1
Vice Chairman – David Antonelli1
Director of Fixed Income – Donald Mykrantz1
16 fixed income
portfolio managers
31 equity
portfolio managers
3 quantitative
portfolio managers
22 years
18 years
18 years
20 fixed income analysts
52 equity analysts
11 quantitative analysts
17 years
12 years
12 years
5 fixed income associates
13 equity associates
10 quantitative associates
7 years
4 years
11 years
Portfolio management
(50)
Research team
(83)
Research associates
(28)
Gregory Heller, Director of Fixed Income Trading
Paul Skinner, Director of Global Equity Trading
13 equity traders – 17 years
12 fixed income traders – 16 years
Trading
(25)
Betsy Palmer, Global Product Management and Marketing
7 professionals – 18 years
Product
management (7)
TOTAL
193
As of 31-Dec-10.
Years = average years industry experience.
1 Member of Investment Management Committee.
299-I-C-LCV-28FEB11.3
19139.2
3
MFS equity investment professionals
President, Chief Investment Officer, and Director of Global Research – Michael Roberge
Vice Chairman – David Antonelli
Portfolio Management
CORE
Kevin Beatty
Michael Cantara
Brett Fleishman
Gabrielle Gourgey
Christopher Jennings
Ben Kottler
Daniel Ling
Joseph MacDougall
David Mannheim
Roger Morley
Sanjay Natarajan
Marcus Smith
Nicole Zatlyn
Fundamental Research
GROWTH
Robert Almeida
David Antonelli
Andrew Boyd
Jeffrey Constantino
Eric Fischman
Peter Fruzzetti
Jose Luis Garcia
Robert Lau
Thomas Melendez
Thomas Wetherald
VALUE
Nevin Chitkara
Steven Gorham
Camille Humphries Lee
Katrina Mead
Maura Shaughnessy
Benjamin Stone
Brooks Taylor
Barnaby Wiener
Joseph Flaherty, Director
Matthew Krummell
Jeffrey Morrison
Jonathan Sage
As of 18-Feb-11.
299-I-C-LCV-28FEB11.4
Anne-Christine Farstad
Betsy George
Paul Gordon
Simon Gresham
Ward Griffiths
Michael Grossman
Ellen Hazen
Kate Jackson
Manish Kaul
Salman Khan
Yuko Kikuchi
Takeyuki Kora
Gavin Ma
Institutional Product
Management
Quantitative Research
Portfolio Managers
Dennis Allaire
Matthew Barrett
Filipe Benzinho
Eric Braz
Jeffrey Cho
Maile Clark
Kevin Conn
Thomas Crowley
Claud Davis
David DeGroff
Timothy Dittmer
Reinier Dobbelmann
Kevin Dwan
Analysts
James Fallon
Elena Goncharova
Sam Haidar
Noah Rumpf
John Stocks
Bhushan Vartak
Betsy Palmer, Director
Michael Adams
Richard Chiu
Ann Marie Costello
Peter Loncto
Nicole Neubelt
Abel Rebelo
Bradford Mak
Edward Maloney
Pablo de la Mata
Ryan McAllister
Stuart McPherson
Sandeep Mehta
Ayako Mikami
Brett Mirliani
Jonathan Munko
Raj Nair
Vipin Narula
James Neale
Teresa Occhiolini
Alison O’Neill
Marco Quiza
Jeffrey Russel
Matthew Sabel
Kevin Schmitz
Matthew Scholder
James Schuster
Kiran Sebastian
David Shindler
Joseph Skorski
Florence Taj
John Tsai
Scott Walker
Equity Trading
Paul Skinner, Director of Global Equity Trading
Jeffrey Estella, Director
Brenda Farley, Director
Traders
Jennifer Blanchette
Jeffrey Estella
Brenda Farley
Michael Flint
Robert Johnson
Tucker Jones
Samir Parikh
Marc Pascal
Alfred Sablone
Michael Spalla
Jeffrey Starrick
Eric Trach
19140.3
4
Experienced MFS Large Cap Value Equity team
Nevin Chitkara
Steven Gorham, CFA
Katrina Mead, CFA
Portfolio Manager
18 years industry experience
Portfolio Manager
Institutional Portfolio Manager
Additional resources
Jonathan Sage, CFA
Benjamin Stone
Brooks Taylor
Barnaby Wiener
Camille Lee, CFA
Joseph MacDougall, CFA
Abel Rebelo
Portfolio
Manager
15 years industry
experience
Portfolio
Manager
14 years industry
experience
Portfolio
Manager
17 years industry
experience
Portfolio
Manager
17 years industry
experience
Institutional Portfolio
Manager
23 years industry
experience
Institutional Portfolio
Manager
16 years industry
experience
Institutional Product
Manager
11 years industry
experience
299-I-C-LCV-28FEB11.5
5
MFS Large Cap Value Equity team
Nevin P. Chitkara
- Equity Portfolio Manager
- As a Value Equity Portfolio Manager, responsible for final buy and sell decisions, portfolio construction,
risk and cash management. Participates in the research process and strategy discussions.
- Previous experience includes 5 years as Analyst, Acquisition Associate and Manager
at General Electric Company.
- Massachusetts Institute of Technology, MBA
- Boston University, BS, magna cum laude
Steven R. Gorham, CFA
-
Investment Officer
Equity Portfolio Manager
Serves on MFS U.S. Equity Management Committee.
As a Value Equity Portfolio Manager, responsible for final buy and sell decisions, portfolio construction,
Joined MFS in 1989; positions include Equity Research Analyst; Marketing Representative;
Teleservices Representative.
Affiliations include CFA Institute, Boston Security Analysts Society, Inc.
Boston College, MBA
University of New Hampshire, BS
5-JAN-11
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6
MFS Large Cap Value Equity team (continued)
Katrina (Kate) Mead, CFA
- Previous experience includes 2 years as Financial Analyst - Real Estate Advisory Services at
Coopers & Lybrand, Financial Advisory Services.
- Villanova University, BS, magna cum laude
299-I-C-LCV-28FEB11.7
7
Representative MFS institutional client list1
Serving over 300 institutional clients globally
Corporate
Non-profit
Public funds & Taft Hartley
• American Airlines
• Archdiocese of New York
• Bristol-Myers Squibb
• California Academy of Sciences
• Chrysler
• Carleton University
• Danske Capital
• CERN Pension Fund
•
•
•
•
• Google
• Children’s Hospital of Pittsburgh
• Hewlett Packard
• Community Hospital of the Monterey Peninsula
• MeadWestvaco Corporation
• Furman University
• Mitsubishi Electric Pension Fund
• National Gallery of Art
• Nestle
• North Shore Long Island Jewish Health System
• Panasonic Pension Fund (Japan)
• Ochsner Clinic Foundation
• PepsiCo
• Providence College
• Sanyo Electric Corporation
• Texas A&M Foundation
• Toyota Motors
• Trinity University
• U.S. Airways
• Virginia Tech
•
•
•
•
•
•
•
•
•
•
Andra AP-Fonden
County of Los Angeles
Danish Teachers “Laerernes” Pension Fund
Federation of National Public Service Workers
Personnel Mutual Aid Associations, Japan
Government Pension Investment Fund
of Japan
Government Pension Fund of Thailand
London Pensions Fund Authority
LSR (The Pension Fund for State
Employees in Iceland)
Massachusetts Water Resources Authority
Nebraska Investment Council
Oregon and Southwest Washington Painters
Parliamentary Contributory Pension Fund
State of Oregon
UFCW Tri-State Pension
Sub-advised accounts
• BNP Paribas Investment Partners
• GuideStone Capital Management
• ING Investment Management
• NTUC Income Insurance Co-Operative Ltd.
1
• Russell Investment Group
As of 31-Jan-11. This does not represent a complete list of MFS’ institutional clients. The selection of clients represents a sampling of those who have agreed to the use of their names.
It is not known whether the listed clients approve or disapprove of MFS Institutional Advisors Inc. or the advisory service provided. The criteria used to include the above listed clients are a
mix of investment style, type of client, and other considerations.
299-I-C-LCV-28FEB11.8
8
Key contacts
Carolyn Lucey, CIMA
Director
Relationship Manager
Phone: 617.954.5980
Cell: 978.807.8589
Fax: 617.210.8814
Email: [email protected]
Ryan Kelly
Client Service Manager
Phone: 617.954.7376
Fax: 617.350.2626
Email: [email protected]
Mailing Address
MFS Investment Management
500 Boylston Street, 21st Floor
Boston, MA 02116
299-I-C-LCV-28FEB11.9
9
Disciplined focus on high quality, attractively valued companies
to provide compelling long-term risk-adjusted returns
Goals
• Outperform the Russell 1000 Value Index with lower volatility over full market cycles
• Achieve a competitive ranking in relevant peer universes over full market cycles
The tenets of our investment philosophy are based upon the following beliefs:
Philosophy
• Valuation is one of the most important drivers of stock price performance
• Quality is underappreciated by the market
We leverage our bottom-up, global research platform to identify undervalued, high quality companies that:
• Have sustainable, durable franchises
• Generate significant free cash flow
Strategy
• Maintain strong balance sheets
• Have strong management teams who are good stewards of capital
Our valuation approach is flexible, but we place a strong emphasis on cash flow and returns-based
methodologies
We focus on downside risk management at the individual security level
299-I-C-LCV-28FEB11.10
10
Investment process overview
Portfolio
construction
Idea generation and fundamental research analysis
250 – 350
companies
• Multiple valuation
metrics considered
• Favorable
risk/reward
S Large C
Investable
universe
Attractive
valuation
MF
Russell 1000
companies
+
Global multinational
peers
• Sustainable durable
franchise
• Good free cash flow
generation
• Solid balance sheet
• History of capital
stewardship
ap
Value Eq
80 – 100
holdings
u
Portfolio
ity
Starting
universe
Quality
characteristics
299-I-C-LCV-28FEB11.11
11
Depth and collaboration of global sector teams
provide competitive advantage in research
Idea
generation
Fundamental research
Analysis and construction
MFS Large Cap Value
Equity portfolio
Collaborative research environment
72 fundamental research
analysts: 28 U.S. equity
analysts and 24 non-U.S.
equity analysts; 20 credit
analysts; backed by 18
research associates
8 global sector teams
organized by region
and sectors
Extensive integration
across geographies and
asset classes
50 portfolio managers
with significant industry
experience in value, core,
growth, quantitative, and
fixed income
Quantitative research
team: 11 quantitative
analysts provide proprietary
research models,
quantitative stock rankings,
and scenario testing;
backed by 10 quantitative
research associates
London
Boston
Tokyo
Mexico City
Singapore
Sydney
As of 31-Dec-10.
299-I-C-LCV-28FEB11.12
12
Consistent focus on high quality and valuation in all market environments
Idea
generation
MFS Large Cap Value
Equity portfolio
High quality companies
Sustainable, durable
franchises
Significant free cash flow
Solid balance sheet
History of capital stewardship
• Above average returns
on capital
• Above average capital
position
• Proven track record
• Below average business risk
• Robust business model
• Capital investment discipline
• Focus on return on incremental
invested capital
• Consistent returns
Attractively valued securities
Multiple measures of
valuation are considered:
• Price/free cash flow
• Price/earnings
• Price/book
• Dividend yield
• Price/sales
299-I-C-LCV-28FEB11.13
13
Fundamental research and focus on downside risk management
provide the foundation for buy and sell decisions
Idea generation
Portfolio construction
Buy analysis
•
•
•
•
•
Sustainable, durable franchises
Significant free cash flow
Solid balance sheet
History of capital stewardship
Attractively valued securities
• Determine position size by conviction, risk and
reward, and liquidity
• Manage risk
MFS Large Cap Value
Equity portfolio
Sell analysis
• Stock becomes expensive
• Better alternative available
• Breakdown in quality dimensions
- Security level assessment: operational risk,
financial risk, valuation risk
- Portfolio levels have been: Generally, max
position of 5%, or 1.25 times benchmark weight,
whichever is greater; 25% industry limit
• Maintain well diversified large-cap value portfolio
299-I-C-LCV-28FEB11.14
14
LADWP’s investment guidelines
1. The Portfolios shall be equity securities of companies doing business in the United States. It is expected that the Portfolios will
be fully invested (<5% cash) at all times. Equity securities shall be restricted to those issues listed on the New York, American,
NASDAQ, or other nationally recognized United States stock exchanges.
2. The Board recognizes the Manager is an active manager investing in a universe of securities that resembles the Russell 1000
Value Index. The Manager will adjust its Portfolios on an ongoing basis to attempt to outperform the investment results of the
Russell 1000 Value Index.
3. The Manager shall not use derivatives within the Portfolios without the expressed written consent of the Plan. If the Manager
elects to use derivatives as part of its investment strategy, the Plan requires that the Manager provide written documentation
of the rationale for using such instruments. Use of derivatives for speculation is prohibited. Only exchange-traded derivatives
will be utilized.
4. For prudent diversification, no more than 5% of the Portfolios shall be invested in any one issue as of the time of purchase,
unless that issue represents more than 5% of the Russell 1000 Value Index. In such cases, the maximum amount allowed is
125% of the benchmark weight. At no time shall any specific issue represent more than 10% of the portfolios. In addition, no
issue shall be purchased in the Portfolios if more than 10% of the outstanding shares of that company are held by the Manager
in the total of all of its accounts.
5. The Manager shall invest in securities specifically authorized in these written guidelines. Unauthorized investments include
foreign securities listed and traded on U.S. exchanges, including American Depository Receipts (ADRs). All foreign securities
except for Benefit Driven Incorporations (BDIs) included in the Russell Indexes are unauthorized. Additional unauthorized
investments include short sales, futures, direct investment in raw commodities, and the use of non-approved derivative
securities (i.e. equity futures and forward contracts), and/or the purchase of securities on margin.
299-I-C-LCV-28FEB11.15
15
Market and portfolio overview
46.2 43.9
28.9
Employees' Retirement, Disability and Death Benefit Plan
Retiree Health Benefits Fund
Russell 1000 Value
19.1
19.0
22.2
1 Year
Source: benchmark performance from SPAR, FactSet Research Systems, Inc.
Past performance is no guarantee of future results.
8.5
6.4
Retailing
Health Care
Special Products
& Services
Portfolio performance (%), net of fees, as of 28-Feb-11
MSCI
EAFE
16.0 15.9 14.2
onsumer Staples
Russell
1000 Value
19.6
inancial Services
S&P 500
23.8 23.3
Auto & Housing
Russell
Russell
Russell
Midcap 2000 Value 1000
Value
Growth
31.6 29.5
20.0
Utilities &
Communications
Russell
Midcap
Growth
22.2
Technology
Russell
2000
Growth
22.6
39.4
Basic Materials
24.9
Leisure
29.3
Industrial Goods
& Services
33.1
Energy
36.3
Russell 1000 Value sector performance (%) 1 year as of 28-Feb-11
Transportation
Style performance (%), 1 year as of 28-Feb-11
Portfolio Value (Employees’ Retirement, Disability & Death Benefit Plan)
Initial Value as of 18-Feb-04
$243,663,470
Contributions
+31,868,971
Withdrawals
0
Change in Market Value
+148,641,472
Market Value as of 28-Feb-11
$424,173,913
Portfolio Value (Retiree Health Benefits Fund)
Beginning value as of 15-Sep-09
$42,450,334
Contributions
+6,678,423
Withdrawals
0
Change in market value
+11,776,334
Ending value as of 28-Feb-11
$60,905,091
299-I-C-LCV-28FEB11.16
16
Basis points
MFS Large Cap Value strategy has historically outperformed
the Russell 1000 Value Index when investors are risk averse (USD)
2000
1800
1600
1400
1200
1000
800
600
400
200
Yield Premium: Barclays Capital U.S. High-Yield Corporate Bond Index Spread Over U.S. 10 Year Treasuries
Decreased
appetite
for risk
Heightened
appetite for risk
Heightened
appetite
for risk
Decreased
appetite
for risk
15
MFS Large Cap Value outperformed Russell 1000 Value Index
Percent (%)
10
MFS Large Cap Value underperformed Russell 1000 Value Index
5
0
-10
1Q98
2Q98
3Q98
4Q98
1Q99
2Q99
3Q99
4Q99
1Q00
2Q00
3Q00
4Q00
1Q01
2Q01
3Q01
4Q01
1Q02
2Q02
3Q02
4Q02
1Q03
2Q03
3Q03
4Q03
1Q04
2Q04
3Q04
4Q04
1Q05
2Q05
3Q05
4Q05
1Q06
2Q06
3Q06
4Q06
1Q07
2Q07
3Q07
4Q07
1Q08
2Q08
3Q08
4Q08
1Q09
2Q09
3Q09
4Q09
1Q10
2Q10
3Q10
4Q10
-5
Relative performance2
Absolute performance2
Value Strategy
Outperformed1
1Q98 – 3Q02
+6.2%
+5.6%
Value Strategy
Underperformed1
4Q02 – 2Q07
-0.9%
+18.3%
Value Strategy
Outperformed1
3Q07 – 1Q09
+7.7%
-25.5%
Value Strategy
Underperformed1
2Q09 – 4Q10
-4.8%
+28.8%
This exhibit is not designed to assert a direction in performance, but rather highlights the historical relationship between our Large Cap Value strategy and the spread environment given the strategy’s
focus on having less risk than the market. For complete performance results, please see Composite Report in appendix.
Sources: Barclays Capital and SPAR, FactSet.
1 Russell 1000 Value Index.
2 Periods over 1 year are annualized.
299-I-C-LCV-28FEB11.17
17
The quality of companies owned within the MFS Large Cap Value
strategy has increased while their relative valuations have declined
195
185
175
Forward P/E MFS Large Cap Value relative to Russell 1000 Value
3-year average ROE MFS Large Cap Value relative to Russell 1000 Value
165
Percent (%)
155
145
135
125
115
105
95
85
75
Dec
2001
Dec
2002
Dec
2003
Dec
2004
Dec
2005
Dec
2006
Dec
2007
Dec
2008
Dec
2009
Dec
2010
As of 31-Dec-10.
Based on the MFS institutional representative account.
Source: MFS research.
299-I-C-LCV-28FEB11.18
18
Cumulative performance over time of the highest quality stocks vs. the universe
25
20
15
Percentage (%)
10
5
0
-5
-10
-15
-20
2009
2007
2006
2004
2003
2001
2000
1998
1997
1995
1994
1992
1991
1989
1988
1986
1985
1984
1982
1980
1979
1977
1976
1974
-25
Universe is the 1000 largest stocks based on market cap and incorporated in the United States from 12/1974 to 9/2010
Quality: Quintiled based on an equal weighted composite score using 3-year average annual Return on Equity (ROE), volatility of ROE (as measured by standard deviation over three years) and
leverage (assets/equity, latest annual). Quintile rankings are based on a scale of 1 through 5, with 1 being highest quality rating and 5 being the lowest.
Return on Equity is a measure of how well a company used reinvested earnings to generate additional earnings, equal to a fiscal year's after-tax income (after preferred stock dividends but before
common stock dividends) divided by book value, expressed as a percentage.
Highest quality stocks defined as those stocks in Quintile 1.
As of 30-Sept-2010.
Sources: Compustat, FactSet Research Systems, Inc.
299-I-C-LCV-28FEB11.19
19
Valuation is a significant driver of stock price performance. Owning
high quality inexpensively valued companies adds even more value
700%
Performance of high quality, low P/E companies
600%
Low PE performance
Percentage (%)
500%
400%
300%
200%
100%
2009
2007
2006
2004
2003
2001
2000
1998
1997
1995
1994
1992
1991
1989
1988
1986
1985
1984
1982
1980
1979
1977
1976
1974
-0%
Valuation: Quintiled based on Price/ Last Twelve Month Earnings Per Share. Quintile rankings are based on a scale of 1 through 5, with 1 being cheapest valuation and 5 being the most expensive.
Price/earnings ratio (P/E) is the price of a stock divided by its earnings per share.
Highest quality stocks defined as those stocks in Quintile 1. Lowest valuation defined as those stocks in Q1 and Q2.
As of 30-Sept-2010.
®
MFS Large Cap Value Equity
299-I-C-LCV-28FEB11.20
20
Rolling 20-quarter average return spread of the highest quality stocks
with the lowest valuation minus the universe
160
140
120
Percentage (%)
100
80
60
40
20
0
-20
2010
2008
2007
2006
2005
2003
2002
2001
2000
1998
1997
1996
1995
1993
1992
1991
1990
1988
1987
1986
1985
1983
1982
1981
1980
-40
Valuation: Quintiled based on Price/ Last Twelve Month Earnings Per Share. Quintile rankings are based on a scale of 1 through 5, with 1 being cheapest valuation and 5 being the most expensive.
Price/earnings ratio (P/E) is the price of a stock divided by its earnings per share.
Highest quality stocks defined as those stocks in Quintile 1. Lowest valuation defined as those stocks in Q1 and Q2.
As of 30-Sept-2010.
299-I-C-LCV-28FEB11.21
21
Compliance with LADWP’s investment guidelines
As of 28 February 2011
Yes
All companies doing business in the United States
✔
All issues listed on the New York, American,
NASDAQ or other nationally recognized stock exchange
✔
Portfolio is fully invested (<5% cash)
✔
Derivatives Prohibited
✔
No more than 5% in any one issue at purchase
unless issue represents more than 5% of the
Russell 1000 Value (R1V). If greater than 5% of
R1V than maximum 125% of benchmark
weight (up to 10%).
✔
No issue purchased if more than 10% of the
outstanding shares held by manager
✔
All securities held specifically authorized
in the written guidelines
✔
No
299-I-C-LCV-28FEB11.22
22
Employees’ Retirement, Disability & Death Benefit Plan
Performance overview
Annualized returns (%), as of 28-Feb-11
Portfolio (net)
38.3
33.2
Russell 1000 Value
19.1
22.2
5.6 6.0
1.9 0.2
4.5
1.4
1.6
5.2 3.0
6.5 4.4
6.4 4.3
-1.9
YTD
1 Year
2 Years
3 Years
4 Years
5 Years
6 Years
7 Years
Inception
to date
(18-Feb04)
-0.4
-3.1
-5.1
1.7
2.5
2.9
2.2
1.9
1.9
Excess returns (%) vs.
Russell 1000 Value
Annual returns (%)
2010
2009
2008
2007
2006
2005
Portfolio (gross)
12.7
20.7
-31.5
10.1
21.7
7.2
Portfolio (net)
12.3
20.3
-31.8
9.7
21.3
6.9
Russell 1000 Value
15.1
19.7
-36.9
-0.2
22.3
7.1
Excess net return
-2.8
0.6
5.1
9.9
-1.0
-0.2
299-I-C-LCV-28FEB11.23
23
Performance overview
Annualized returns (%), as of 28-Feb-11
Portfolio (net)
22.2
19.0
Russell 1000 Value
18.7
16.5
6.0
5.6
YTD
1 Year
-0.4
-3.2
Inception to date
(15-Sep-09)
Excess returns (%) vs.
Russell 1000 Value
Annual returns (%)
2010
Portfolio (gross)
12.6
Portfolio (net)
12.3
Russell 1000 Value
15.5
Excess net return
-3.2
-2.2
299-I-C-LCV-28FEB11.24
24
Peer Universe Rankings as of 31 December 2010
Product
AUM
Annualized returns (gross of fees)
Tracking error1,3
Information ratio1,3
$
1 year
3 years
5 years
10 years
3 years
5 years
3 years
5 years
Employees' Retirement,
Disability & Death Benefit Plan
$401m
12.7%
-2.3%
4.5%
–
3.9
3.4
0.53
0.96
$58m
12.6%
–
–
–
–
–
–
–
MFS Large Cap Value
$34.4bn
12.4%
-2.4%
4.3%
4.8%
3.9
3.4
0.51
0.88
MFS Percentile Rank4
–
77
46
22
43
82
82
34
7
Russell 1000 Value Index5
–
15.5%
-4.4%
1.3%
3.3%
–
–
–
–
Index Percentile Rank5
–
33
78
79
79
–
–
–
–
1
Based on monthly returns.
Based on quarterly returns.
3 Relative to the Russell 1000 Value index with net dividends reinvested.
4 Rankings are vs. the eVestment Alliance Large Cap Value Equity universe. The number of observations for the Large Cap Value Equity universe: 382 (1 year); 371 (3 years); 353 (5 years);
228 (10 years). Compiled on 26-Jan-11 with 93.4% of firms reporting.
5 Russell 1000 Value index with net dividends reinvested.
Please see attached GIPS report for additional performance information.
2
299-I-C-LCV-28FEB11.25
25
Performance drivers – sectors
Relative to Russell 1000 Value Index (USD) – one year as of 28 February 2011
Contributors
Retailing
Autos & Housing
Consumer Staples
Special Products & Services
Basic Materials
Utilities & Communications
Average relative
weighting (%)
0.4
0.9
3.0
0.6
0.5
-4.9
Detractors
Technology
Industrial Goods & Services
Leisure
Health Care
Cash
Financial Services
Energy
Transportation
2.8
3.6
-2.1
0.2
1.4
-3.8
-0.7
-1.8
Total
Sector
selection (%)
0.0
0.0
-0.1
0.0
0.2
0.1
+
Stock
selection (%)
0.4
0.1
0.2
0.1
-0.2
-0.2
Relative
= contribution (%)
0.3
0.1
0.1
0.0
0.0
0.0
0.1
0.3
-0.4
-0.1
-0.4
0.3
0.3
-0.2
-0.7
-0.8
-0.2
-0.4
–
-0.7
-0.5
–
-0.6
-0.6
-0.5
-0.5
-0.4
-0.4
-0.2
-0.2
0.0
-2.8
-2.8
Attribution results are generated by the FactSet application utilizing a methodology which is widely accepted in the investment industry. Results are based upon daily holdings using a buy and hold
methodology to generate individual security returns and do not include expenses. As such, though generally accurate, attribution results are essentially estimates and not guaranteed to aggregate to
the total return of the portfolio or of the benchmark which can be found elsewhere in this presentation.
299-I-C-LCV-28FEB11.26
26
Performance drivers – stocks
Relative to Russell 1000 Value Index (USD) – one year as of 28 February 2011
1
Average weighting
Portfolio (%) Benchmark (%)
2.2
1.7
–
1.6
0.5
1.6
3.6
0.2
0.9
0.3
1.6
2.5
1.5
0.2
–
0.6
2.2
–
1.2
–
Contributors
Exxon Mobil
Berkshire Hathaway
Merck & Co Inc
Philip Morris International
National-Oilwell Varco Inc
Bank of America Corp.
PPG Industries
Amgen Inc.
Oracle Corp.
Honeywell Inc
Detractors
Abbott Laboratories
Lockheed Martin Corp
Medtronic Inc.
Cisco Systems Inc.
Bank of New York Mellon Corp.
Conoco Phillips
Hewlett Packard
Comcast Corp
Kellogg Co
State Street Corp
2.3
4.0
1.5
0.7
2.9
0.2
0.8
–
1.4
1.2
0.1
0.1
0.1
–
0.5
1.1
0.2
0.9
0.0
0.3
Returns
Portfolio (%)1 Benchmark (%)
35.0
35.0
–
6.6
-7.9
-7.9
34.2
39.9
89.0
84.8
-14.0
-14.0
47.9
47.9
–
-8.8
34.5
–
48.0
–
-8.2
5.6
-5.8
-23.7
7.9
9.3
-13.5
–
5.9
-0.3
4.7
4.4
10.4
–
7.9
68.6
-9.3
59.8
4.7
-0.3
Relative
contribution (%)
0.5
0.4
0.4
0.4
0.3
0.3
0.3
0.3
0.3
0.3
-0.7
-0.7
-0.5
-0.4
-0.3
-0.3
-0.3
-0.3
-0.3
-0.2
Represents performance for the time period stock was held in portfolio.
Attribution results are generated by the FactSet application utilizing a methodology which is widely accepted in the investment industry. Results are based upon daily holdings using a buy and hold
methodology to generate individual security returns and do not include expenses. As such, though generally accurate, attribution results are essentially estimates and not guaranteed to aggregate
to the total return of the portfolio or of the benchmark which can be found elsewhere in this presentation.
299-I-C-LCV-28FEB11.27
27
Period ending 28 February 2011
Risk*
Predicted tracking error1
Realized tracking error
Highest monthly excess return
Lowest monthly excess return
R-square
Beta1
Alpha
Information ratio
Annualized std dev
Sharpe ratio
Employees’ Retirement, Disability &
Death Benefit Plan
4.10%
3.40%
2.64
-2.18
0.97
0.90
0.27
0.96
Portfolio
17.18%
Index
18.99%
Portfolio
0.08
Index
-0.01
Employees’ Retirement,
Characteristics
Death & Disability Plan
# of holdings
81
Weighted avg mkt cap ($ bn)
$87.8 bn
Median mkt cap ($ bn)
$47.6 bn
Yield
2.2%
P/E (12 month forward)
12.1x
Price/book
2.0x
Price/sales
1.4x
Price/cash flow
9.7x
EPS growth
10.0%
Retiree Health
Benefits Fund
81
$87.2 bn
$47.6 bn
2.2%
12.1x
2.0x
1.4x
9.7x
10.1%
Russell
1000 Value
665
$74.4 bn
$39.5 bn
2.1%
12.9x
1.6x
1.2x
9.1x
9.5%
Retiree Health
Benefits Fund
2.6
4.1
11.3
11.6
23.5
12.2
10.9
4.0
2.7
1.5
7.9
0.0
6.0
Russell
1000 Value
1.2
3.2
8.0
12.9
27.4
12.1
7.0
5.9
2.6
1.0
4.9
1.9
12.0
All characteristics are weighted average unless otherwise noted.
*All risk characteristics based on last 5 years of Employees’ Retirement, Disability & Death Benefit
Plan relative to the Russell 1000 value.
Disability & Death
Retiree Health
Top ten holdings
Benefit Plan
Benefits Fund
Philip Morris International Inc
3.8
3.8
3.8
3.8
Chevron Corp
3.2
3.2
Goldman Sachs Group Inc
3.1
3.1
JPMorgan Chase & Co
2.9
2.9
AT&T Inc
2.8
2.8
Bank of New York Mellon Corp
2.8
2.8
International Business Machines Corp
2.7
2.7
MetLife Inc
2.7
2.7
Pfizer Inc
2.8
2.7
Total
30.6
30.5
Sector weights
Death & Disability Plan
Autos & Housing
2.6
Basic Materials
3.7
Consumer Staples
11.3
Energy
11.6
Financial Services
23.5
Health Care
12.2
11.0
Leisure
4.0
Retailing
2.7
1.6
Technology
7.9
Transportation
0.0
6.0
1
299-I-C-LCV-28FEB11.28
28
10 year historical sector exposure
As of 31-Dec-10
Autos & Housing
3.2
Basic Materials
Russell 1000 Value
Average
–
1.6
2.2
12.7
2.9
6.9
4.2
Consumer Staples
12.5
7.7
10.3
6.2
Energy
17.1
10.7
12.5
13.0
Financial Services
32.3
16.9
25.8
31.4
Health Care
12.6
6.4
8.8
7.1
11.5
3.9
8.4
6.6
Leisure
8.5
1.5
4.9
6.2
Retailing
5.1
0.5
2.9
3.0
4.0
–
1.5
0.7
Technology
7.3
0.6
4.0
4.8
Transportation
2.0
0.2
1.1
1.3
18.3
7.1
10.6
13.4
1
MFS Large Cap Value Equity1
Maximum
Minimum
Average
299-I-C-LCV-28FEB11.29
29
Relative annual historical sector allocations
16
14
MFS1 minus Russell 1000 Value sector weights
Dec
1999
Dec2000
Dec2001
Dec2002
Dec2003
Dec2004
Dec2005
Dec2006
Dec2007
Dec2008
Dec
2009
Dec
2010
12
Overweight
10
% of Portfolio
8
6
4
2
0
-2
-4
-6
-8
Underweight
-10
Industrial Consumer Special
Goods & Staples Products
Services
& Services
1
Technology
Autos &
Housing
Basic
Materials
Retailing
Health
Care
Energy
Transportation
Leisure
Financial Utilities &
Services Communications
299-I-C-LCV-28FEB11.30
30
Portfolio holdings
As of 28-Feb-11
Autos & Housing
Sherwin-Williams Co
Stanley Black & Decker Inc
Johnson Controls Inc
Pulte Group Inc
General Motors Co
Basic Materials
PPG Industries Inc
3M Co
Air Products & Chemicals Inc
Cash & Other
Consumer Staples
General Mills Inc
PepsiCo Inc
Kellogg Co
Procter & Gamble Co
JM Smucker Co
Altria Group Inc
Reynolds American Inc
Avon Products Inc
Energy
Chevron Corp
Exxon Mobil Corp
Apache Corp
Hess Corp
EOG Resources Inc
Market
Value (%)
2.6
0.9
0.8
0.4
0.2
0.2
3.7
1.3
1.3
1.1
2.0
11.3
3.8
1.7
1.6
1.1
0.9
0.8
0.6
0.5
0.2
11.6
3.2
2.7
2.5
1.3
0.8
As of 28-Feb-11
Occidental Petroleum Corp
Pride International Inc
Financial Services
JPMorgan Chase & Co
MetLife Inc
Wells Fargo & Co
Bank of America Corp
Travelers Cos Inc
Prudential Financial Inc
AON Corp
State Street Corp
PNC Financial Services Group Inc
Mastercard Inc
Chubb Corp
Allstate Corp
BlackRock Inc
Health Care
Pfizer Inc
Johnson & Johnson
Abbott Laboratories
Medtronic Inc
St Jude Medical Inc
Becton Dickinson and Co
Thermo Fisher Scientific Inc
Quest Diagnostics Inc
Merck & Co Inc
Market
Value (%)
0.8
0.4
23.5
3.1
2.9
2.8
2.7
2.1
1.7
1.4
1.4
1.1
1.0
0.8
0.8
0.7
0.6
0.3
12.2
2.8
2.6
2.1
1.4
1.0
0.9
0.5
0.5
0.4
Cash and other assets are less liabilities.
299-I-C-LCV-28FEB11.31
31
Portfolio holdings (continued)
As of 28-Feb-11
United Technologies Corp
Honeywell International Inc
Northrop Grumman Corp
Danaher Corp
Eaton Corp
Fluor Corp
Leisure
Walt Disney Co
Omnicom Group Inc
Hasbro Inc
Viacom Inc
McDonald's Corp
Retailing
Target Corp
CVS Caremark Corp
Kohl's Corp
Staples Inc
Walgreen Co
Advance Auto Parts Inc
Dun & Bradstreet Corp
Western Union Co
Technology
Oracle Corp
Market
Value (%)
11.0
3.8
2.3
1.5
1.3
1.0
0.9
0.2
4.0
1.5
1.3
0.5
0.4
0.3
2.7
0.8
0.6
0.4
0.3
0.3
0.3
1.6
1.0
0.7
7.9
2.7
2.4
As of 28-Feb-11
Intel Corp
Cisco Systems Inc
Hewlett-Packard Co
AT&T Inc
PG&E Corp
Public Service Enterprise Group Inc
Verizon Communications Inc
Dominion Resources Inc
PPL Corp
PPL Corp Conv Pfd
Market
Value (%)
1.4
0.8
0.7
6.0
2.8
1.0
0.6
0.6
0.5
0.3
0.2
299-I-C-LCV-28FEB11.32
32
Portfolio holdings
As of 28-Feb-11
Autos & Housing
Sherwin-Williams Co
Stanley Black & Decker Inc
Johnson Controls Inc
Pulte Group Inc
General Motors Co
Basic Materials
PPG Industries Inc
3M Co
Air Products & Chemicals Inc
Cash & Other
Consumer Staples
General Mills Inc
PepsiCo Inc
Kellogg Co
Procter & Gamble Co
JM Smucker Co
Altria Group Inc
Reynolds American Inc
Avon Products Inc
Energy
Chevron Corp
Exxon Mobil Corp
Apache Corp
Hess Corp
EOG Resources Inc
Market
Value (%)
2.6
0.9
0.8
0.4
0.2
0.2
4.1
1.7
1.3
1.1
1.7
11.3
3.8
1.7
1.6
1.1
0.9
0.8
0.6
0.5
0.2
11.6
3.2
2.6
2.5
1.3
0.8
As of 28-Feb-11
Occidental Petroleum Corp
Pride International Inc
Financial Services
JPMorgan Chase & Co
MetLife Inc
Wells Fargo & Co
Bank of America Corp
Travelers Cos Inc
Prudential Financial Inc
AON Corp
State Street Corp
Mastercard Inc
PNC Financial Services Group Inc
Chubb Corp
Allstate Corp
BlackRock Inc
Health Care
Pfizer Inc
Johnson & Johnson
Abbott Laboratories
Medtronic Inc
St Jude Medical Inc
Becton Dickinson and Co
Thermo Fisher Scientific Inc
Quest Diagnostics Inc
Merck & Co Inc
Market
Value (%)
0.8
0.4
23.5
3.1
2.9
2.8
2.7
2.1
1.7
1.4
1.4
1.1
1.0
0.9
0.8
0.7
0.6
0.3
12.2
2.7
2.6
2.2
1.4
1.0
0.9
0.5
0.5
0.4
299-I-C-LCV-28FEB11.33
33
Portfolio holdings (continued)
As of 28-Feb-11
United Technologies Corp
Honeywell International Inc
Northrop Grumman Corp
Danaher Corp
Eaton Corp
Fluor Corp
Leisure
Walt Disney Co
Omnicom Group Inc
Hasbro Inc
Viacom Inc
McDonald's Corp
Retailing
Target Corp
CVS Caremark Corp
Kohl's Corp
Staples Inc
Walgreen Co
Advance Auto Parts Inc
Dun & Bradstreet Corp
Western Union Co
Technology
Oracle Corp
Market
Value (%)
10.9
3.8
2.3
1.5
1.3
1.0
0.9
0.2
4.0
1.5
1.3
0.5
0.4
0.3
2.7
0.8
0.6
0.4
0.3
0.3
0.3
1.5
0.9
0.7
7.9
2.7
2.4
As of 28-Feb-11
Intel Corp
Cisco Systems Inc
Hewlett-Packard Co
AT&T Inc
PG&E Corp
Public Service Enterprise Group Inc
Verizon Communications Inc
Dominion Resources Inc
PPL Corp
PPL Corp Conv Pfd
Market
Value (%)
1.4
0.8
0.7
6.0
2.8
1.0
0.6
0.6
0.5
0.3
0.1
299-I-C-LCV-28FEB11.34
34
LADWP’s fee schedule
Separate account
Assets
Fees
Initial $100 million
40 basis points or 0.40%
Next $100 million
Over $200 million
299-I-C-LCV-28FEB11.35
35
Appendix
Contents
Page
Glossary of terms
37
Market capitalization
39
Forecasted tracking error and portfolio beta vs Russell 1000 Value Index
40
MFS Large Cap Value Equity team additional resources
41
Composite report (USD)
44
299-I-C-LCV-28FEB11.36
36
Glossary of terms
Alpha is a measure of the difference between a portfolio's actual returns and its expected performance, given its level of risk as
measured by beta. A positive alpha figure indicates the portfolio has performed better than its beta would predict. In contrast, a
negative alpha indicates the portfolio's underperformance, given the expectations established by the fund's beta.
Beta is a measure of a portfolio's sensitivity to market movements. The beta of the market is 1.00 by definition. A portfolio with a
beta of 0.85 would indicate that the portfolio is expected to perform 15% worse that the market's excess return during up markets
and 15% better during down markets , assuming all other factors remain constant.
Earnings-per-share (EPS) growth represents the annualized rate of net-income-per-share growth over the trailing three-year
period for the stocks held by the portfolio. Earnings-per-share growth gives a good picture of the rate at which a company has
grown its profitability per unit of equity.
Excess return is defined as the portfolio's achieved rate of return minus the benchmark return over the same period.
Information ratio is a measure of risk adjusted performance. Dividing the portfolio active return by portfolio tracking error gives
you the information ratio.
Predicted tracking error (also called active risk) is a measure of the expected deviation from the benchmark.
Price/book ratio of the portfolio is the weighted average of the price/book ratios of all the stocks in the portfolio. Book value is the
total assets of a company, less total liabilities. A company's book value is calculated by dividing the market price of its outstanding
stock by the company's book value, and then adjusting for the number of shares outstanding (Stocks with negative book values
are excluded from this calculation.). The price/book ratio can tell investors approximately how much they're paying for a
company's assets, based on historical, rather than current, valuations.
Price/cash flow is a stock's current price divided by the trailing 12-month cash flow per share. For the portfolio this number
represents the weighted average of the price/cash-flow ratios of the stocks in the portfolio. Price/cash-flow represents the amount
an investor is willing to pay for a dollar generated from a particular company's operations. Price/cash-flow shows the ability of a
business to generate cash and acts as a gauge of liquidity and solvency.
299-I-C-LCV-28FEB11.37
37
Glossary of terms (continued)
P/E (12 month forward) is a stock's current price divided by the company's trailing 12-month earnings per share. The (P/E) ratio
of the portfolio is the weighted average of the price/earnings ratios of the stocks in the portfolio. The P/E ratio of a company,
which is a comparison of the cost of the company's stock and its expected next 12-month earnings per share, is calculated by
dividing these two figures.
Price/sales is a stock's current price divided by the company's trailing 12-month sales per share. For the portfolio this number
represents the weighted average of the price/sales ratios of the stocks in the portfolio. Price/sales represents the amount an
investor is willing to pay for a dollar generated from a particular company's operations.
R-Squared is the measure of correlation between a portfolio and the market (benchmark). Values range between 0 and 1. The
higher the value of R-Square, the greater the correlation between the two. R-squared can be used to determine the significance
of a particular beta or alpha. Generally, a higher R-squared will indicate a more useful beta figure. If the R-squared is lower, then
the beta is less relevant to the fund's performance.
Realized tracking error (also called active risk) is a measure of the actual deviation from the benchmark.
Return on Equity (ROE) represents the amount of net income returned as a percentage of shareholders equity. Return on equity
measures a corporation's profitability by revealing how much profit a company generates with the money shareholders have
invested. ROE can be one measure of quality of a company.
Sharpe Ratio is calculated by using standard deviation and excess return to determine reward per unit of risk. The higher the
Sharpe ratio, the better the portfolio's historical risk-adjusted performance.
Standard Deviation is a statistical measurement of dispersion about an average and depicts how widely a portfolio's returns
varied over a certain period of time. When a portfoliohas a high standard deviation, the predicted range of performance is wide,
implying greater volatility.
299-I-C-LCV-28FEB11.38
38
Los Angeles Department of Power & Water
Market capitalization (USD)
As of 28-Feb-11
Small-cap
Mid-cap
Large-cap
45.3
% of portfolio
38.1
11.1
0.0
0.0
0 – 1 bn
1.4
1 – 5 bn
Portfolio
Weighted average market cap
35.1
33.9
13.0
9.7
7.3
3.4
5 – 10 bn
10 – 50 bn
50 – 100 bn
100 bn +
Russell 1000 Value
($ billions)
Employees’ Retirement, Disability &
Death Benefit Plan
87.8
87.2
S&P 500
95.0
Russell 1000 Value
74.4
Russell Midcap Value
8.3
Russell 2000 Value
1.2
299-I-C-LCV-28FEB11.39
39
Forecasted tracking error and portfolio beta vs Russell 1000 Value Index1
1.0
As of 31-Dec-10
9
Portfolio beta
Forecasted tracking error
8
7
6
0.8
5
Forecasted tracking error
Portfolio beta
0.9
4
0.7
3
2
0.6
3Q98
1
2Q00
1Q02
4Q03
3Q05
2Q07
1Q09
4Q10
The historical predicted tracking error and beta are predicted by BARRA as of the dates shown. This information is used by the portfolio managers at the time of prediction to better assess the
portfolio’s positioning. The actual tracking error and beta may be different from the predicted tracking error and beta. The actual tracking error and beta are available upon request.
Source: Barra. The Barra information may only be used for your internal use, may not be reproduced or redisseminated in any form and may not be used to create any financial instruments or
products or any indices. The Barra information is provided on an "as is" basis and the user of this information assumes the entire risk of any use made of this information. Barra, each of its affiliates
and each other person involved in or related to compiling, computing or creating any Barra information (collectively, the "Barra Parties") expressly disclaims all warranties (including without limitation,
any warranties of originality, accuracy, completeness, timeliness, non-infringement, merchantability and fitness for a particular purpose) with respect to this information. Without limiting any of the
foregoing, in no event shall any Barra Party have any liability for any direct, indirect, special, incidental, punitive, consequential (including, without limitation, lost profits) or any other damages.
299-I-C-LCV-28FEB11.40
40
MFS Large Cap Value Equity team additional resources
Jonathan W. Sage, CFA
- Blended Research Portfolio Manager
- As a Blended Research Equity Portfolio Manager, responsible for final buy and sell decisions, portfolio
construction, risk and cash management. Participates in the research process and strategy discussions.
- Joined MFS in 2000; positions include Quantitative Equity Research Analyst.
- Previous experience includes 2 years as Supervisor - Portfolio Administration at Santander Global
Advisor, Inc.; 3 years as Mutual Fund Accountant, Sr. Mutual Fund Accountant and Unit Manager at First
Data Investor Services Group.
- Boston College, MBA
- Tufts University, BA
Benjamin Stone, IIMR
- Previous experience includes 8 years as Research Analyst at Schroders Investment Management.
- Affiliations include Institute of Investment Management and Research.
- Durham University, BA
Brooks A. Taylor
- Previous experience includes 3 years as Associate/Financial Analyst at The Lodestar Group.
- Yale University, BA
299-I-C-LCV-28FEB11.41
41
MFS Large Cap Value Equity team additional resources (continued)
Barnaby Wiener
-
Camille Humphries Lee, CFA
Investment Officer
Equity Portfolio Manager
Serves on MFS Non-U.S. Equity Management Committee.
As a Value Equity Portfolio Manager, responsible for final buy and sell decisions, portfolio construction,
Joined MFS in 1998; positions include Equity Research Analyst.
Previous experience includes 2 years as Vice President & Equity Analyst at Merrill Lynch;
2 years as Equity Research Analyst at Credit Lyonnais.
Served five years in the British Army reaching the rank of Captain
Royal Military College, Sandhurst , Graduate Course
Oxford University, MA, upper 2nd class history degree
- Joined MFS in 2000.
- Previous experience includes 3 years as Research Analyst at SG Cowen Securities
Corporation; 8 years as Research Analyst and Associate Analyst at Alex Brown.
- University of Virginia, MBA
- University of Virginia, BA
299-I-C-LCV-28FEB11.42
42
MFS Large Cap Value Equity team additional resources (continued)
Joseph G. MacDougall, CFA
- Joined MFS in 2000; positions include Senior Product Manager.
- Previous experience includes 1 year as Senior Investment Analyst at UAM Investment Services;
4 years as Senior Financial Analyst and Director of Managed Accounts at New England Securities.
- Boston University, MBA
- Boston College, BS
Abel Z. Rebelo
- Director, Institutional Product Management
- As an Institutional Product Manager, communicates investment policy, strategy and tactics,
performs portfolio analysis and leads institutional product development.
- Joined MFS in 2000; positions include Associate Investment Specialist; Product Services Analyst.
- Previous experience includes 2 years as Product Information Specialist, Senior Product Information
Specialist at Mellon Trust/Mellon Financial Company; 2 years as Trust Specialist, Senior Trust Specialist
at Mellon Trust/The Boston Company.
- Boston University, MBA
- Providence College, BS, cum laude
299-I-C-LCV-28FEB11.43
43
Performance Presentation Report
2010, Q4
Composite: MFS Large Cap Value
Equity Composite
Benchmark Russell 1000 Value Total Return
Creation Date: 20-Feb-2001
Inception Date: 1-Feb-1989
Investment Objective:
To seek capital
appreciation and reasonable income by investing
primarily in out-of-favor and undervalued large
capitalization stocks with lower volatility over full
market cycles (typically 3 to 5 years).
Institutional Separate Account Fee Schedule
Asset Breakpoints (USD)
Fee
For Assets Up To 50 MM
For Assets From 50 MM To 100 MM
For Assets Over 100 MM
55 bp
40 bp
35 bp
Annualized 3 Year Standard Deviation
Composite: 21.31
Benchmark: 23.51
Accounts are eligible for inclusion in the composite if
they have assets greater than 2 MM USD.
Accounts are included as of their first full month of
performance.
Run time: 26-Jan-2011 11:01:13 AM
Period
Composite and Benchmark Return
Gross of fees
Net of fees
Benchmark
Composite
Dispersion
Accounts in
Assets in Composite
Composite at End
of Period
(USD million) % Firm
2010
12.43
11.82
15.51
0.18
29
$ 27,128.6
12.3
2009
21.85
21.19
19.69
0.49
25
$ 19,989.1
10.9
2008
-32.09
-32.51
-36.85
0.14
21
$ 12,169.9
9.5
2007
8.85
8.15
-0.17
0.24
20
$ 16,018.3
8.1
2006
21.98
21.20
22.25
0.23
24
$ 14,436.4
7.7
2005
7.41
6.72
7.05
0.21
27
$ 11,911.6
7.3
2004
16.40
15.65
16.49
0.22
37
$ 12,016.5
8.2
2003
26.20
25.39
30.03
0.24
42
$ 10,632.4
7.6
2002
-12.98
-13.55
-15.52
0.44
34
$ 6,191.7
5.5
2001
-6.12
-6.73
-5.59
0.01
$ 4,627.8
3.4
18
MFS Investment Management® claims compliance with the Global Investment Performance Standards (GIPS®) and has prepared and presented this report in compliance
with the GIPS® standards. MFS has been independently verified for the periods 1-Jan-1988 through 31-Dec-2009.
Verification assesses whether (1) the firm has complied with all the composite construction requirements of the GIPS standards on a firm-wide basis and (2) the firm's
policies and procedures are designed to calculate and present performance in compliance with the GIPS® standards. MFS Large Cap Value Equity Composite has been
examined for the periods 01-Feb-1989 through 31-Dec-2009. The verification and performance examination reports are available upon request.
Total Gross-of-fee returns in USD terms (includes both capital appreciation and income), are net of transaction costs, withholding taxes and direct
expenses, but before management fees, custody and other indirect expenses. Certain accounts may be subject to Fair Valuation as conditions warrant.
Typical separate accounts utilize 4:00 PM (London Time) foreign exchange rates; retail products will use rates deemed most appropriate for daily NAV
per share calculations. The possibility exists for performance dispersion between otherwise similarly managed accounts and also with the benchmark.
Management fees for this product style are described in full in Form ADV Part II which is available upon request.
Net composite returns are prepared by subtracting from the monthly gross returns one-twelfth of the maximum applicable annual institutional separate
account fee.
Total Returns of the Benchmark are provided for each period depicted, expressed in USD. Source of Benchmark Performance: FACTSET ®.
Benchmark returns are not examined by independent accountants.
Composite Dispersion is measured by the asset-weighted standard deviation of account returns for all accounts in the composite for the full period.
There were no non-fee paying accounts in the composite during any of the time periods depicted. No segments of balanced mandates have been
included in this composite.
Prior to 31-Mar-2009 accounts would be eligible for inclusion in the composite if they have assets greater than 5.0 MM USD and as of their second full
month of performance.
Prior to 1-Aug-2008, the maximum institutional separate account fee charged for this product was 65 bps. The net returns depicted in this report are
based upon the historical max in effect for each of the periods depicted.
For purposes of GIPS® compliance, the firm is defined as MFS Investment Management® which is comprised of Massachusetts Financial Services
Company (MFS) and MFS Institutional Advisors, Inc. (MFSI), each of which is a registered investment advisor, and MFS Heritage Trust Company, a
New Hampshire Trust company. Total firm assets are calculated at market value and include assets managed by MFS, MFSI and MFS Heritage Trust
Company as well as assets managed by MFS and MFSI in a sub-advisory capacity on behalf of affiliated investment advisors that may or may not be
registered under the United States Investment Advisers Act of 1940, such as MFS International, Ltd. (MIL UK) and MFS Investment Management K.K.
(MIMKK), as well as assets managed by MFS and MFSI on behalf of unaffiliated investment advisors that may or may not be registered under the
United States Investment Advisers Act of 1940. Total firm assets for GIPS® purposes do not include assets of non-discretionary, advisory relationships.
A complete list of firm composites and descriptions, along with additional information regarding policies for calculating and reporting returns are
available upon request.
AELV
Page 1 of 1

Presentation by MFS Investment Management

Transcription

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