first quarter 2009 current strategy review - lewishamcouncilmeetings.lewisham.gov.uk/data/pensions...
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London Borough of Lewisham First Quarter 2009 Current Strategy Review
June 16, 2009
This presentation is provided by AllianceBernstein Limited.Bernstein Value Equities (referred to as Bernstein herein) is a unit of AllianceBernstein Limited.
This presentation booklet has been provided to you for use in a private and confidential meeting to discuss a potential or existing investment advisory relationship.This presentation is not an advertisement and is not intended for public use or distribution beyond our private meeting.
This document is directed at Professional Clients (as defined in FSA rules) and the products and services described are only available to such clients.This document is not directed at Retail Clients and no reliance should be placed on its contents by Retail Clients.
Issued by AllianceBernstein Limited, Devonshire House, One Mayfair Place, London W1J 8AJ. AllianceBernstein Limited is authorised and regulated in the UK by the Financial Services Authority.
Nicholas DavidsonSenior Portfolio Manager
George BlundenDirector – Client RelationsInstitutional Investments
GV CS 1Q09 1
Your Agenda
Your Mandate
Performance Review
Portfolio Positioning
Nicholas Davidson
Senior Portfolio Manager
Member of UK/European Investment Policy Group
22 years’ industry experience
George Blunden
Bernstein Value Equities
Senior Vice President
Senior Investment Advisor
29 years’ industry experience
GV CS 1Q09 2
Your Mandate
Mandate Size: Inception £133 millionMay 31, 2009 £144 million
Benchmark: Inception to March 31, 2008 34% FTSE World Europe ex UK Index12% FT/S&P AW Japan Index10% FT/S&P AW Dev Asia Pacific ex Japan34% FTSE World North America10% MSCI Emerging Markets Index
From April 1, 2008 onwards MSCI All Country Index, 50% hedged to GBP
Premium Target: 1.5% above the benchmark (net)
Risk Target: 3-5% tracking error
Your Team: Nicholas Davidson, George Blunden and Dawn Williams
Bernstein Value Equities
GV CS 1Q09 3
Performance SummaryIn Pounds
Bernstein Value Equities
Inception—November 1, 2004Based on London Borough of Lewisham Global Diversified Value account vs. MSCI ACWI Half Hedged to GBP from April 2008 onwards and the custom benchmark prior to this dateSource: FTSE, MSCI and Bernstein
Apr-May2009
1Q2009 2008 2007 2006 2005 2004
SinceInception
(to May 09)
London Borough of Lewisham 14.7%
12.9%
+1.8%
(9.4)% (37.5)% 6.4% 13.1% 30.0% 7.4% 1.9%
Benchmark (9.6)% (28.6)% 13.2% 9.7% 27.6% 5.9% 4.5%
Relative Performance +0.2% (8.9)% (6.8)% +3.4% +2.4% +1.5% (2.6)%
GV CS 1Q09 4
Diverse Holdings Drove Improving Performance in First Quarter
Bernstein Value Equities
After a weak start to the year, markets staged a partial recovery late in the quarter, and your portfolio outperformed in March
Select energy, medical and financial holdings did well
Other financial stocks did poorly, along with some cyclical holdings
GDV and FTSE All World Performance
Contributors
Detractors
(7.9)% (8.6)%
8.7%
(8.0)% (9.3)%
7.4%
Jan 09 Feb 09 Mar 09
Lewisham MSCI ACWI Half Hedged to GBP
As of March 31, 2009Based on London Borough of Lewisham Global Diversified Value account vs MSCI ACWI Half Hedged to GBPData are preliminary. Past performance is no guarantee of future results. The returns presented above are gross of fees. The results do not reflect the deduction of investment-management fees; the client’s return will be reduced by the management fees and any other expenses incurred in the management of its account. For example, a US$100 million account, paying a 0.50% annual fee, with a given rate of 10% compounded over a 10-year period would result in a net-of-fee return of 9.5%. Investment advisory fees are described in Part II of AllianceBernstein’s Form ADV.Source: MSCI and Bernstein; see Performance Disclosure and Disclosures and Important Information.
FinancialsMetlifeFifth Third BancorpAllstate
MedicalPfizer
Consumer CyclicalsCBS
EnergyPetro Canada
FinancialsCredit SuisseWells Fargo
MedicalSchering-PloughWyeth
GV CS 1Q09 5
High but Falling PeakingHigh and RisingRiskAbove AveragePeakingRisingOpportunity
Is the Worst Over for Value?
Bernstein Value Equities
Anxiety andRisk Aversion
Actual Earningsand Stock Price
Long-TermEarnings Powerand Stock Price
The Value Cycle
Confidence andRisk Appetite
Phase 3Phase 2Phase 1
GV CS 1Q09 6
10
20
30
40
50
71 74 78 82 86 90 93 97 01 05 09
Value Opportunity Is Elevated
Bernstein Value Equities
Long-term measures of value opportunity are elevated
Discount to Fair Value*
Per
cent
InternetEuphoria
Japan AssetBubble
Oil Shock
At the individual stock level, valuation spreads are high across most sectors
Through March 31, 2009*Data represent Bernstein’s estimate of the amount by which the most attractively priced large-cap global stocks sell below overall market valuations. The proportion of Bernstein investments in stocks from this group will vary over time but will typically be high. Bernstein’s estimates of the fair value of these stocks may not be realized for a variety of reasons. Data for March 2009 are preliminary. **The ratio of the highest price/book quinti le to the lowest price/book quintile in the Bernstein global large-cap developed universe; Cyclicals includes capital equipment, construction, consumer cyclicals, technology/electronics and transportation; Defensives includes consumer staples, medical, telecom and utilities; Resources includes energy and industrial commodities.Source: Center for Research in Security Prices (CRSP), FactSet, MSCI, S&P Compustat, Thomson, Worldscope and Bernstein
Range of Price/Book Valuation Spread Ratios: 1971–2009
6.5
4.6
7.08.3
0
2
4
6
8
10
Cyclicals Defensives Financials Resources
95th Percentile
5th Percentile
Current Value Long-Term Average
**
Rat
io (×
)
GV CS 1Q09 7
(2)
0
2
4
6
94 97 00 03 06 09
Average
Investor Anxiety Remains High
Investor risk aversion, while down from recent peaks, remains unusually elevated
Market volatility is high and likely to remain so for some time
Global Risk Aversion Indicator*
MSCI World 20-Day Rolling Equity Volatility**
Sta
ndar
d D
evia
tion
Per
cent
Bernstein Value Equities
Through March 31, 2009*Incorporates equity index implied volatil ities, bond spreads, currency implied volatilities and equity mutual fund flow**MSCI World using net local returns to exclude currency effectSource: Bloomberg, Investment Company Institute, MSCI and Bernstein
0
25
50
75
1999 2001 2003 2005 2007 2009
GV CS 1Q09 8
0.0
0.5
1.0
1.5
2.0
2.5
3.0
3.5
4.0
4.5
1978 1983 1988 1993 1998 2003 2008
Rat
io (×
)
GDV
MSCI World
0.8×
1.6×
1.5×
2.2×
1.5×
2.5×
0.7×
0.9×
1.1×
1.2×
1.3×
2.4×
Financials
Consumer Cyclicals
Telecom
Technology
Energy
Medical
Bernstein Value Equities
The Portfolio Includes Attractively Valued Stocks in All Sectors
Portfolio Sector Valuations: Price/Book
As of or through March 31, 2009Based on a representative Global Diversified Value accountSource: MSCI and Bernstein
MSCI World Global Diversified Value
Price/Book
1.0×
1.4×
GV CS 1Q09 9
Our Research Is Adapting to the Uncertain Environment
Bernstein Value Equities
Fundamental Research
Exercise greater caution when signals disagree
Understand the bear case
Broaden analysis of other stakeholder behavior
Broadenperspective
Supplement return model with additional metrics: net equity issuance, change in short interest, sell-side earnings revisions
Explore broader set of risk and return factors
Explore more adaptive risk models
Quantitative Research
Stress test balance sheets for extreme outcomes
Scrutinize debt covenants, maturity patterns and sources of funding
Identify vulnerabilities to noneconomicforces
Deependownside risk analysis
Use scenario analysis in our risk model to stress test volatility assumptions
Use refinancing tool to identify at-risk companies
Extend use of external risk models
GV CS 1Q09 10
Renault and Nissan Should Be Resilient Through Crisis
Bernstein Value Equities
Liquidity vs. Cash Burn (EUR Billions)
Net Liabilities/EBITDA*** Price/Book
0.2×0.5×
0.8×
Renault Nissan MSCIWorld
Automakers
0.4×3.3×
8.7×
Nissan Renault GM
As of March 31, 2009*Industrial business only**Includes operational cash requirements and debt repayments***Includes financial liabilities (excluding sales financing), pension and other employee related liabilities and cash and equivalents, as of 4Q 2008Source: ACEA (European Automobile Manufacturers’ Association), MSCI, company reports and Bernstein; see Disclosures and Important Information.
3.1
3.4 3.3 10.4
7.2
3.7*
3.6
0.4
5.2
2.6
Total Available Liquidity
Est. 2009 Cash Needs**
Total Available Liquidity
Est. 2009 Cash Needs**
Total UnusedCredit Lines*GovernmentLoans/CashPotential Valueof Equity Stakes
Ren
ault
Nis
san
Renault and Nissan face short-term funding concerns. Our research suggests that both companies have access to ample liquidity to see them through the crisis
Both companies are well positioned to meet their long-term financial liabilities and their shares trade at attractive valuations, suggesting they could recover strongly as the downturn eases
Total EU-15 Auto Sales: Cars and Light Commercial Vehicles
16.2 17.0
1012141618
2000 2002 2004 2006 2008 2010 2012
Mill
ions
EstimateCar sales have fallen dramatically and will take some time to recover
GV CS 1Q09 11
Energy: The Portfolio Is Sensitive to Rising Oil Prices
Bernstein Value Equities
As of or through March 31, 2009*Depletion after maintenance capex and satellite extensions but before new projects**From 1985–2008 ***Spot prices for West Texas Intermediate crudeSource: Bloomberg, MSCI, company reports and Bernstein; see Disclosures and Important Information.
OPEC manages its output to support prices and maximize profit
The economic downturn caused the sharpest dropin oil demand in 25 years
Global Oil Supply/Demand Metrics
Oil: OPEC Production vs. Prices***
Price/Forward Earnings 2010E
(8)%(4)%
1.5%
(2.0)%
2008–09E
LT Annual Growth**
Natural Depletion
With Capex*
Demand Growth
2224262830
01 02 03 04 05 06 07 08 09 100306090120150
$/Barrel
Oil PriceOPEC Production (Left Scale)
Mil.
Bar
rels
/Day Normal
$75
7.2× 7.0× 6.5×9.4× 10.1×
RoyalDutch Shell
Conoco-Phillips
Petro-Canada
WorldEnergy
MSCI World
Our energy holdings are attractively valued and have the potential to do well as oil prices normalize
GV CS 1Q09 12
Maintaining Portfolio Exposure to Financials
As of March 31, 2009Based on a representative Global Diversified Value account; numbers may not sum due to rounding.*Recent ROE from 2003–2007. For ING, recent ROE is from 2004–2007, due to accounting changes. Sumitomo recent ROE is average of 2007–2008, due to large losses in previous years. Sumitomo forecast normal ROE is for year ending March 2013. Source: MSCI and Bernstein; see Disclosures and Important Information.
Global Diversified Value: Financial Holdings
Portfolio Weight Representative HoldingsRecent*
ROEForecast
ROE (2013)
Price/Normalized Earnings
Insurance INGMetLifeAllianzMunich Re
23%111210
16%161313
Price/Book
MSCI World FinancialsMSCI World
0.8×1.4
2×566
Banks & Financial Services
Credit SuisseHSBCSumitomo Mitsui Financial GroupDeutsche Bank
13%109
10
8×557
13%16101013%
7%
Total 20%Total
Bernstein Value Equities
GV CS 1Q09 13
Telecoms: Strong Cash Flows, Even in a Downturn
Concern is growing that a significant downturn in consumer and enterprise spending will undermine strong cash flows at telecom companies and threaten dividend payments
Telecom stocks in our portfolio are attractively valued compared with the benchmark and trade at deep discounts to historical valuation levels
Operating Free Cash Flow*
Bernstein Value Equities
Our research suggests that discretionary capex on new services and capacity expansion can be easily cut to alleviate pressure on cash flows
Telefónica (EUR Bil.)Vodafone (GBP Bil.)15.0 15.7
6.35.6
2009E 2010E
Capex**
10.0 10.3
4.64.2
2009E 2010E
Price/Forward Earnings (2010E)
Free Cash Flow Dividend
Essential25%
Capacity (Market Driven)50%
New Services(Discretionary)
25%
C$1.5 C$0.7BCE €3.7€1.9Telefónica£2.9 Bil.£1.4 Bil.Vodafone
Market DrivenDiscretionary
Potential Cash Flowfrom Capex Reduction(2009–2010 Average)
Capex by Type
7.8× 7.8× 10.3× 10.8×17.3×
Vodafone Telefónica BCE MSCIWorld (ex
Financials)
WorldTelecom
(5-Yr. Avg.)As of March 31, 2009*Bernstein estimates, EBITDA minus capex**Bernstein estimatesSource: MSCI, company reports and Bernstein; see Disclosures and Important Information.
BCE (CAD Bil.)4.3 4.3
1.21.2
2009E 2010E
GV CS 1Q09 14Bernstein Value Equities
As of May 31, 2009Based on London Borough of Lewisham Global Diversified Value account*Based on PB/PESource: MSCI, Thomson I/B/E/S and Bernstein
Portfolio Characteristics: High Yields at Attractive Valuations
3.7%
3.1%
LewishamGDV
MSCIWorld
Dividend Yield
10.9%11.7%
LewishamGDV
MSCIWorld
1.3×
1.6×
LewishamGDV
MSCIWorld
13.4×
15.4×
LewishamGDV
MSCIWorld
Price/Earnings2009E
Price/Book Return on EquityNext 12 Months*
GV CS 1Q09 15
We Have a History of Exploiting Anxiety and Opportunity
(1.6)
3.4
(1.1)
(12.0)
(19.6)
17.7
9.0
3.7 4.8 5.38.3
(6.4)(10.3)
15.2
Oct
–Dec
199
5
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
(25)
(20)
(15)
(10)
(5)
0
5
10
1998 1999 2000 2001 2002 2003
Global Value Annual Net PerformanceRelative to MSCI World (%)
Annualized Relative Net Returns for an Investment Starting in March 1998
Past performance is no guarantee of future results. Periods of more than one year are annualized. The returns presented above are Global Value composite returns net of fees relative to MSCI World (net), in US dollars. Source: MSCI and Bernstein; see Performance Disclosure.
Feb 00(19.5)%
24 monthsPerc
ent
Feb 023.0%
In US Dollars
Bernstein Value Equities
GV CS 1Q09 16
Appendix
Bernstein Value Equities
GV CS 1Q09 17
As of May 31, 2009Based on London Borough of Lewisham Global Diversified Value account versus the MSCI ACWI Half Hedged to GBPSource: MSCI and Bernstein; see Disclosures and Important Information.
Bernstein Global Diversified Value: Largest Active Weights
Bernstein Value Equities
10 Largest Overweights 10 Largest Underweights
Royal Dutch Shell +2.0%
Credit Suisse Group +0.9%
Eni Spa +0.9%
Sanofi-Aventis +0.9%
Merck +0.9%
BASF +0.9%
BNP Paribas +0.9%
Mitsubishi Chemical Holdings +0.9%
Petro Canada +0.8%
Nissan Motor +0.8%
General Electric (0.7)%
Nestlé (0.7)
Apple (0.6)
Wells Fargo (0.6)
Toyota (0.6)
Coca-Cola (0.5)
Google (0.5)
Roche (0.5)
Novartis (0.5)
Exxon (0.5)
GV CS 1Q09 18
As of May 31, 2009Based on London Borough of Lewisham Global Diversified Value account versus the MSCI ACWI Half Hedged to GBP Source: MSCI and Bernstein
Bernstein Global Diversified Value: Sector and Country Weights
Energy +3.0%
Financials +2.2
Telecommunications +1.2
Technology +0.8
Utilities (0.8)
Industrial Commodities (1.0)
Transportation (1.3)
Consumer Cyclicals (2.3)
Construction & Housing (2.3)
Capital Equipment (3.3)
Germany +3.6%
France +1.9
Sweden +1.0
Netherlands +0.9
Korea +0.9
Australia (1.0)
Spain (1.3)
Switzerland (2.0)
Japan (3.1)
US (6.8)
Largest Sector Overweights & Underweights Largest Country Overweights & Underweights
Bernstein Value Equities
GV CS 1Q09 19
As of or through March 31, 2009*Discount of MSCI EM to MSCI World**These data represent Bernstein’s estimate of the amount by which the most attractively priced emerging-market and large-cap global stocks sell below overall market valuations. The proportion of Bernstein investments in stocks from this group will vary over time but will typically be high. Bernstein’s estimates of the fair value of these stocks may not be realized for a variety of reasons. Data for March 2009 are preliminary. Source: Compustat, DRI, FactSet, MSCI, Thomson Datastream, Thomson I/B/E/S and Bernstein; see Disclosures and Important Information.
Emerging Markets: Bottom-Up Stock Selection Yields Opportunities
Our estimate of the value opportunity in emerging markets is broadly in line with the developed world
We continue to find compelling opportunities across a variety of sectors
After rebounding in March, emerging markets are priced at a small discount to developed-market equities on a forward-earnings basis, despite higher expected profitability
Relative Valuations:* Emerging vs. Developed Markets
Bernstein Value Equities
Discount to Fair Value of Most Attractive Stocks**
(75)
(50)
(25)
0
25
92 94 96 98 00 02 04 06 08
Perc
ent
Price/ForwardEarnings
Price/Book
20
30
40
50
92 94 96 98 00 02 04 06 08
Perc
ent MSCI EM
MSCI World
Holding Industry Country Price to BookNorilsk Nickel Metals Russia 0.5×
AU Optronics Technology Taiwan 0.7
LUKOIL Energy Russia 0.8
Samsung Electronics Technology S. Korea 1.5
Select Emerging-Market Opportunities
GV CS 1Q09 20
UK Banks: Lloyds Has strong Market Position with Limited Downside
As of March 31, 2009*Excludes assets upon which banks do not bear any risk including policyholder assets, insurance, intangibles and goodwill**Insured under Government Asset Protection Scheme (GAPS)Source: Company reports and Bernstein
Bernstein Value Equities
Risk Assets*: Insured vs. Uninsured
Royal Bank of Scotland: Earnings Forecast
After RBS revealed heavy losses in January, our research suggested that the risk of further losses and full nationalization had increased dramatically
Lloyds Banking Group: UK Market Share
In contrast, Lloyds is well protected under the Government Asset Protection Scheme. Most of its uninsured assets are relatively low-risk mortgages and loans
Lloyds’ takeover of HBOS gives it a leading market share in the UK banking market and the potential to recover strongly when conditions stabilize
(40)
0
40
80
07 08E 09E 10E 11E 12E
Penc
e pe
r Sha
re
As of Dec 31, 2008
After January losses
Lloyds Banking Total: £962 Bil.
Govt.Insured**
26%
Uninsured74%
7642Buy-to-let mortgages8015Leveraged finance
10097Real estate, homebuilders10018Unsecured personal loans100%33Specialist mortgages
InsuredTotal£ Bil.Riskiest Assets
30%
24%
20%
>20%
Current Accounts
SMEs
Mid-Large Corporate
Position1
1
2
3
Savings; Credit Cards; Mortgages; Personal Loans
GV CS 1Q09 21
(20)
0
20
40
60
1972 1978 1984 1990 1996 2002 2009
The Portfolio Is Well Positioned to Recover Its Performance Premium
Value investing’s success is powerful and sustained
Value Premium of Stocks to MSCI World**
Global Nonfinancials vs. Portfolio*
55% 61%
GDV MSCI World
Net Debt/Book Value EBITDA/Net Debt
0.7×0.6×
GDV MSCI World
As of March 31, 2009*Based on a representative Global Diversified Value account; individual accounts may vary.**Hedged relative returns in USD, based on the MSCI World, measuring the difference in 12-month rolling returns of the most attractive 20% of stocks, based on average of book/price and trailing earnings/price factors, versus the indexSource: Compustat, MSCI, Worldscope, company reports and Bernstein
Bernstein Value Equities
Value Beats Index 80% of All Months
Perc
ent
Average Annualized Premium
6.4%
We believe our portfolios should be resilient through near-term uncertainty and are well positioned to recover their performance premium over time
GV CS 1Q09 22
Bernstein Global Value Equities: Investment Policy Group
Bernstein Value Equities
As of April 30, 2009*Until June 30, 2009
Portfolio Management
Compliance
Trading
Account Management
Performance Reporting
Portfolio Administration
Cross-Border Team
Average Experience in Industry: 20 Years
Average Tenure with Bernstein: 14 Years
Andrew Chin
Giulio Martini
Gregory Powell
Jeff Singer*
Portfolio Specialists
UK & EuropeAvi Lavi
Tawhid Ali
JapanKatsuaki Ogata
Takeo Aso
Pacific BasinStuart Rae
Roy Maslen
Local ExpertsNorth AmericaJohn MahedyDavid Yuen
James MacGregorPeter Frith
Emerging MarketsSammy Suzuki
Matthew Kennedy
Sharon FayChief Investment Officer—
Global Value Equities
Henry D’AuriaChief Investment Officer—Emerging
Markets Value Equities
Kevin SimmsDirector of Research—Global Value Equities
Gerry PaulGlobal Head of Diversified Value Nicholas Davidson
Senior Portfolio Manager
GV CS 1Q09 23
Disclosures
Bernstein Value Equities
GV CS 1Q09 24
Disclosures and Important Information
Bernstein Value Equities
Disclosure on Security ExamplesReferences to specific securities are presented to illustrate the application of our investment philosophy only and are not to be considered recommendations by AllianceBernstein. The specific securities identified and described in this presentation do not represent all of the securities purchased, sold or recommended for the portfolio, and it should not be assumed that investments in the securities identified were or will be profitable. Upon request, we will furnish a listing of all investments made during the prior one-year period.
Past performance is not a guide to future performance.
Additional InformationThe value of investments and the income from them can fall as well as rise and you may not get back the original amount invested.
The value of non-domestic securities may be subject to exchange-rate fluctuations.
The views and opinions expressed in this presentation are based on AllianceBernstein’s internal forecasts and should not be relied upon as an indication of future market performance or any guarantee of return from an investment in any AllianceBernstein services.
Performance Notes
Bernstein Value Equities
GV CS 1Q09 26
Period
Composite Assets (GBP Millions) # of Accounts Gross Return (%) Net Return (%)
Composite Dispersion (%)
Firm Assets (USD Billions)
MSCI World Index Return (%)
2008 527.9 7 (29.05) (29.54) 0.94 389.1 (17.92) 2007 676.9 7 0.64 (0.07) 0.68 689.9 7.20 2006 1,324.4 12 12.04 11.25 1.50 622.0 5.32 2005 1,601.3 12 24.14 23.28 0.89 494.5 22.44 2004 1,209.8 12 9.68 8.97 0.39 465.8 6.97 2003 833.4 11 20.43 19.65 1.66 420.0 19.70 2002 554.3 11 (20.02) (20.54) 0.79 346.9 (27.57) 2001 562.2 9 (3.61) (4.24) 0.58 412.2 (14.63) 2000 70.9 2 8.70 8.00 NM 58.7 (6.33) 1999 43.6 2 15.43 14.68 NM 56.0 28.97 3 Years* (7.17) (7.82) (2.50) 5 Years* 1.73 1.03 3.95 10 Years* 2.41 1.73 0.82 NM = not meaningful, fewer than five accounts were included in the composite for the full period *Annualized through most recent year-end 1) PRESENTATION OF THE FIRM—AllianceBernstein L.P. (“ABLP”) is a registered investment adviser. AllianceBernstein Institutional Investments and AllianceBernstein Investments (collectively, the “Firm”) is the institutional and retail sales, marketing and client service unit of ABLP. The Firm has prepared and presented this report in compl iance wi th the Global Investment Performance Standards (GIPS®). In October 2000 the Firm was redefined when Alliance Capital Management L.P. (“ACMLP”) and Sanford C. Bernstein & Co., Inc. (“Bernstein”) merged. The investment adviser continued to operate as ACMLP. Prior to the merger the firms were reporting under thei r respective names. In February 2006, ACMLP changed its name to ABLP. The Firm has been verified by an independent verifier on an annual basis from 1993 through 2007. 2) COMPOSITE STRUCTURE—The performance results displayed herein represents the investment performance record for the institutional Global Diversified Value Composite (the “Composite”). The Composite consists of accounts which invest in stocks based in both developed and emerging markets and seeks a long-term premium relative to thei r benchmark while taking limited benchmark risk. The Composite includes all fee-paying institutional discretionary accounts. The Composite was created in March 2002 with an inception date of March 31, 1998. 3) A complete list of all composites with descrip tions managed by the Firm and/or additional information regarding policies for calculating and reporting returns is available upon request via email to: CompositeRequests@All ianceBernstein.com. 4) TOTAL RETURN METHODOLOGY AND FEE STRUCTURE—Performance figures in this report have been presented gross and net of investment-management fees. Net performance figures have been calculated by deducting the highest fee payable by an account of this type; 0.65% of assets, annually, through 2004, 0.70% of assets, annually, thereafter. Net-of-fee performance figures reflect the compounding effect of such fees. The investment advisory fee schedule is disclosed in Part II of ABLP’s Form ADV. 5) RATE OF RETURN—No representation is made that the performance shown in this presentation is indicative of future performance. An account could incur losses as well as gains. Performance returns for each account are calculated monthly using trade-date accounting. Per formance results are reported on a total-return basis, which includes all income from dividends and interest, and realized and unrealized gains or losses. Account returns are net of foreign withholding taxes. The benchmark returns are net of withholding taxes from a Luxembourg tax perspective. Prior to 2001, if an account’s net monthly cash flows were equal to or exceeded 10% of its beginning market value, the Modified Dietz Method was used to daily weight the cash flows. When an account’s net monthly cash flows were less than 10% of its beginning market value, the cash flows were assumed to have occurred on the last day of the month. Beginning 2001, all cash flows are daily weighted using the Modified Dietz Method. The monthly Composite returns are calculated by weighting each account’s monthly return by its beginning market value as a percent of the total Composi te’s beginning market value. These monthly performance figures are geometrically linked to calculate cumulative and/or annualized “time-weighted” ra tes of return for various time periods. The Composite contains accounts of clients denominated in foreign currencies. To calculate Composite performance, each account’s monthly returns are converted to US dollars using WM Reuters month-end exchange rates. The US dollar composite returns are then converted to British pounds using these rates. 6) DISPERSION—Internal dispersion is calculated using the asset-weighted standard deviation of all accounts that were included in the Composite for the entire period. 7) The benchmark, which is not covered by the report of independent accountants, is the MSCI World Index. The index is designed to measure global developed market equity performance.
Performance DisclosureBernstein Global Diversified Value (In Pounds)
As of December 31, 2008
Bernstein Value Equities