Accessor Value Fund

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Accessor Value Fund
Accessor Capital ManagementMarch 20, 2001
Doris Dwyer Chu D.J. Shaughnessy
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Wellington Management Today
Focused Investment management is our only
business Experienced Firm began managing client
assets in 1928 Substantial 274 billion in
total AUM Research-Intensive Foundation of
investment process Distinctive Employee-owned
private partnershipOrganization Core resources,
focused teams
US Dollars
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Commitment to Research
Our mission Make money for our clients Career
analysts Industry dedication and
expertise Hands-on money management Analysts
put their best ideas to work
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Depth, Experience and Continuity
Yrs Exp Yrs w/WMC of Professionals
Central Research Global Industry Analysts
15 8Quantitative Asset Allocation
Analysts 11 5 Global Macroanalysts 14 10 Technic
al Analysts 7 3 Equities Equity Portfolio
Managers 18 12 Equity Traders 13 6Equity
Research Analysts 13 7 Equity Research
Assistants 5 3Regional Analysts 23 4 Portfolio
Coordinators 9 5Equity Product
Managers 16 5 Fixed Income Fixed Income
Portfolio Managers 16 9Fixed Income Research
Analysts 12 3Fixed Income Traders 12 7Fixed
Income Research Assistants 4 2 Fixed Income
Product Managers 15 3 Total Investment
Professionals 13 7 258
As of 12/31/00
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Wellington Management Company, LLPGrowth of
Client Assets
Total AUM 274
Billions ()
92
182
As of 12/31/00
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Attractive Securities Lie at the Intersection
of Both Disciplines
Sell
Sell
Quantitative Research
Buy
Buy
Fundamental Research
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Intersection PortfoliosPortfolio Construction
Process
FundamentalResearch
Benchmark-relativeRiskManagement
StockSelection
ClientPortfolio
PortfolioConstruction
QuantitativeResearch
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Intersection PortfoliosFundamental Research
Global Industry Analysts
Cons Durables Normalized Earnings
Electric Utilities P/E Relative to Growth Rate
Telecoms EBITDA Multiple
Banks Price/ Book Value
Pharmaceuticals Future Drug Pipeline
Technology Sequential Earnings Growth
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Intersection PortfoliosQuantitative Research
QuantitativeRecommendation
Valuation
Timeliness
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Intersection ApproachExample Citigroup
FundamentalRecommendation Buy Valuation Trades
at a justified premium to bank stocks Earnings
growth of 20 projected Fundamentals Unrivaled
product breadth and geographic
reach Outstanding quality of earnings
growth Leader in global finance revolution Best
management in the industry globally
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Intersection Approach (cont)Example Citigroup
QuantitativeRecommendation Buy Valuation Discount
ed present value Attractive Cash flow
valuation Above average Price ratios Attractive T
imeliness Earnings momentum Attractive Price
momentum Above average Events None
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Accessor Value FundPortfolio Management Team
Doris Dwyer Chu Portfolio Manager Vice
President BS, George Washington University,
1985 16 years experience 3 years with
Wellington Management Laurie A. Gabriel,
CFA Portfolio Manager Director, Quantitative
Research Senior Vice President, BA, Jackson
College, Tufts University, 1976Managing
Partner 25 years experience 25 years with
Wellington Management Kent M. Stahl, CFA US
Equity Product Management Vice President MBA,
University of Chicago, 1987 14 years of
experience 3 years with Wellington Management
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Accessor Value FundInvestment Objective and
Approach
Investment Objective Outperform SP 500/BARRA
Value Index while managing risk
relative Investment Approach Add value through
bottom-up security selection Combine fundamental
research and quantitative valuation
techniques Maintain sector weights close to the
index (generally 1.5) Manage sources of risk
other than stock selection Stay fully invested
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Accessor Value FundPortfolio Construction
Contribution toTypes of Risks Portfolio
Risk Portfolio Focus
Higher
Market exposure Company size Value style Sector
weights Stock selection
Fully invested Large cap Core value /-1.5
weights Primary focus
Lower
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Accessor Value FundPortfolio Design
Investment universe Companies in the SP
500/BARRA Value Index, and Comparable
capitalization range, and Below average
price/book, or Above average yield Risk
profile Predicted tracking risk 16
Accessor Value FundPortfolio Design (cont)
Portfolio construction 85 plus in SP/BARRA
Value Index Up to 10 may be invested in
securities of the SP/BARRA Growth
Index Sector weightings should not deviate from
SP/ BARRA Value Index by more than 10 of
sector weight or by more than an absolute 2,
whichever is greater Weighted-average
market cap should not deviate by more than
10 from the weighted- average market cap of
SP/BARRA Value Index
Current operating parameters set by Accessor
Capital Management in conjunction with
Wellington Management, subject to change at any
time without notice to shareholders
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Accessor Value FundTen Largest Holdings
of Company Business Equities ExxonMobil Ene
rgy sources 5.2 Citigroup Banks 4.6 Verizon Tel
ephone 3.3 JP Morgan Chase Financial
services 2.7 Tyco International Machinary
mfg 2.6 Philip Morris Tobacco 2.2 United
Technologies Aerospace defense 2.1 Washington
Mutual Banks 2.1 Chevron Energy sources 2.0 SBC
Communications Telephone 2.0 Total 28.8
As of 2/28/01
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Accessor Value FundStock Selection as of March
14, 2001
Benchmark Company Portfolio
Weight Weight Difference Washington
Mutual 2.0 0.5 1.5JP Morgan
Chase 3.0 1.6 1.4United Technologies 2.0 0.6 1.4
Family Dollar Stores 1.3 0.0 1.3ATT Liberty
Media A 1.3 0.0 1.3 Benchmark
Company Portfolio Weight Weight Difference Bank
of America 1.5 1.5Wells Fargo 1.5 1.5Fannie
Mae 1.3 1.3Morgan Stanley DW
Co 1.1 1.1Walt Disney 1.0 1.0
Not held in portfolio weight is percentage of
total portfolio market value
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Accessor Value FundSector Weights
Percent ()
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Accessor Value FundPortfolio Characteristics
Accessor Value Fund SP/BARRA
ValueSize Asset-wtd Market Cap 62.1 bil 64.0
bil Large Cap (5 bil) 87 93 Mid Cap (1
5 bil) 13 7 Small Cap (bil) 0 0 Valuation 5 Yr Projected EPS
Growth 13.4 12.7 Trailing 12 month
P/E 16.5x 17.3x Price/Book 2.7x 2.6x Yie
ld 1.5 1.7 Risk Beta  Equity 0.97 1.00
R2 0.96 1.00 Projected Tracking
Risk 2.64 NA
As of 2/28/01
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Accessor Value FundDistinguishing Features
Consistent large cap, value orientation no
style drift Straightforward investment
process Stock selection emphasized/industry bets
minimized Strength and depth of WMC Research
capabilities
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