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Passive Management of Separate Account S&P 500 Equity Index Portfolio RFI

RFI Documents:
RFI Document (MS Word 2000 Format)
Affirmative Action Program Provisions (PDF Format)
Certification Regarding Compliance with the Americans with Disabilities Act (PDF Format)
Child Care Declaration Statement (PDF Format)
Certification of Compliance with Child Support (PDF Format)
January 24, 2006


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.

  1. 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.

  2. 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


  4. 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


    December 31, 2005

    December 31, 2004

    December 31, 2003

    December 31, 2002

    December 31, 2001


  6. 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


  8. What is your approach to passive management of S&P 500 portfolios? Full replication? Optimization? Stratified sampling? If other, please specify.

  9. 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.

  10. b.  Do you use futures to hedge cash in portfolios managed under this mandate? If so, please list which contracts you use.

  11. 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.
  12. 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.

  13. 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