Request for Information (RFI) for S&P
500 Index Portfolio Manager
January 11, 2005
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 proposals from investment managers 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.
- 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 market
value over $300 million (currently at $500 million).
- How much institutional money did you passively manage in
S&P 500 Index portfolios as of 12/31/2004?
| |
$ millions |
% |
| Separate Account |
|
| Commingled Fund |
|
| Total Funds |
|
100% |
- Please complete the table below, net of fees,
for each one-year period ending December 31.
| |
Porfolio
rate of return (net of fees) |
S&P
500 rate of return |
Difference |
| December 31, 2004 |
|
|
|
| December 31, 2003 |
|
|
|
| December 31, 2002 |
|
|
|
| December 31, 2001 |
|
|
|
| December 31, 2000 |
|
|
|
- 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, 2004 |
|
| December 31, 2003 |
|
| December 31, 2002 |
|
| December 31, 2001 |
|
| December 31, 2001 |
|
- For the one-year period ending 12/31/2004,
indicate the amount traded, the respective percentages, and
the per share commission costs for your passively managed separate
account S&P 500 index portfolios:
| |
Average
commission per share |
S&P
500 index equities traded (US$) |
S&P 500 index equities
traded (%) |
| Internal Cross |
|
|
|
| External
Cross |
|
|
|
| Open Market |
|
|
|
| Total |
|
|
100% |
- Describe your trading procedures for S&P
500 Index separate account portfolio open market trades.
- What is your approach to passive management
of S&P 500 portfolios? Full replication? Optimization?
Stratified sampling? If other, please specify.
- 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.
- 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.
- 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. These documents
can be downloaded for printing from the LACERS web page at www.lacers.org FACSIMILE
COPIES WILL NOT BE ACCEPTED.
Please submit 15 copies by 4:30 p.m., Tuesday,
February 8, 2005 to:
BOARD OF ADMINISTRATION
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
Dan Gallagher or Wayne Ige at (213) 473-7124.
Robert Aguallo, Jr., General Manager
Los Angeles City Employees' Retirement System
RA:DPG
|
|
