Passive Management of Separate Account S&P 500 Equity Index
Portfolio RFI
January 24, 2006
Subject: PASSIVE MANAGEMENT OF SEPARATE ACCOUNT S&P
500 EQUITY INDEX PORTFOLIO REQUEST FOR INFORMATION
Dear Proposer:
The Los Angeles City Employees' Retirement System (LACERS)
is seeking an investment manager with expertise in passively
managing separate account S&P 500 index portfolios. The
portfolio must be available to accommodate frequent cash flows
in and out of the portfolio while closely tracking risk and
return characteristics of the benchmark.
The following questions refer to the passive management of
S&P 500 Index portfolios only .
Please restate each question as indicated followed by your response.
-
Do you currently passively manage separate account S&P
500 index portfolios for institutional clients? If
so, please provide your LOWEST fee schedule for LACERS for
a separate account portfolio, domiciled at LACERS' custodian,
with a current market value over $1.1 billion.
- How much institutional money did you passively manage
in S&P 500 Index portfolios as of 12/31/2005?
| |
$ millions |
% |
Separate account |
|
|
Commingled fund |
|
|
Total funds |
|
100% |
-
Please complete the table below, net of fees, for each
one-year period ending December 31.
| |
Portfolio
rate of return (net of fees) |
S&P 500
rate of return |
Difference |
December 31, 2005 |
|
|
|
December 31,
2004 |
|
|
|
December 31,
2003 |
|
|
|
December 31,
2002 |
|
|
|
December 31,
2001 |
|
|
|
- Please list your tracking error net of fees from
the S&P 500 index return for each one- year period ending
December 31 in the table below.
| |
Tracking error |
December 31,
2005 |
|
December 31,
2004 |
|
December 31,
2003 |
|
December 31,
2002 |
|
December 31,
2001 |
|
- What is your approach to passive management of S&P
500 portfolios? Full replication? Optimization? Stratified
sampling? If other, please specify.
- a. Describe your ability and experience in accommodating
large/frequent flows of cash and/or securities into- or out
of- passively managed separate account S&P 500 index portfolios
in a timely and cost-effective manner.
b. Do you use futures to hedge cash in portfolios
managed under this mandate? If so, please list which contracts
you use.
- Provide the names, phone numbers, assets under management
of your 5 largest separate account institutional clients (public
funds preferred), and number of years you have managed institutional
accounts in this product for each.
- If you are offering a commingled fund or a product that
includes custody, and this product participates in securities
lending, and the proceeds of such lending results in a fee
reduction, indicate the amount of the reduction and the fee
split on lending revenue. Also state what additional charges/fees
might apply.
- Please disclose the nature of any relationship you now
have or have had in the past three years with any LACERS Board
member, consultant, or staff.
LACERS requires all proposers to submit an approved Affirmative
Action Plan and Vendor Child Care questionnaire, a Certification
of Compliance with Child Support Obligations, and American
With Disabilities Certification. The RFI and other required
documents may be downloaded from LACERS' website at www.lacers.org FACSIMILE
COPIES WILL NOT BE ACCEPTED.
Please submit 15 copies by 4:00 p.m., Friday, February 24,
2006 to:
Daniel P. Gallagher, Chief Investment Officer
Los Angeles City Employees' Retirement System
360 East Second Street, Second Floor
Los Angeles, California, USA, 90012-4207
Managers may be requested to submit additional copies of their
proposal. Any questions should be directed to Wayne Ige or
Dan Gallagher at (213) 473-7124.
Robert Aguallo, Jr., General Manager
Los Angeles City Employees'
Retirement System
RA:DPG
|
|
