Alternative Risk Premia
- Preliminary Request for Information -
PCA is seeking proposals for a potential $60 million allocation to Alternative Risk Premia strategies on behalf of a public fund client. If interested, please complete the below questionnaire. Please keep responses as short/concise as possible. Responses are due by Friday, April 20th at 5PM PT.
Managers that fulfill the general structure/intent of the mandate will be asked to complete a more detailed questionnaireat a later date. PCA will notify managers before or on Friday, May 4th if they are eligible to complete the more detailed questionnaire. If you are not notified by that date, your submission did not qualify for the more detailed questionnaire stage.
1)What risk premia does the strategy harvest (e.g., value, momentum, carry, size, etc.)?
2)Across what asset classes does the strategy utilize for each risk premium? Please provide a written response and fill out the table(s) below.
In order to improve comparability amongst proposals, please fill out the table below. PCA understands that this matrix may not perfectly align with your proposal, but please put forth your best effort to align your proposal with these categories. DO NOT CHANGE THE MATRIX (with the exception of potentially adding additional rows).
Risk Premium / EquityIndices / Single Name Equities / Fixed Income / Currencies / Commodities
Value
Cross-sectional
Momentum
Time-series
Momentum
Carry
Other 1
Other 2
Example:
Risk Premium / EquityIndices / Single Name Equities / Fixed Income / Currencies / Commodities
Value / X / X / X
Cross-sectional
Momentum / X / X / X / X
Time-series
Momentum / X / X / X / X
Carry / X / X / X / X
Size / X
In addition to the previous standardized asset/premia matrix, please provide a matrix that best aligns with your specific proposal. You may utilize whichever row/column identifiers best describe your strategy.
3)What instruments does the strategy trade?
4)What is the portfolio construction methodology? How is portfolio risk distributed across asset classes? How is portfolio risk distributed across risk premia? Does the portfolio target a specific volatility level?
5)Please describe the investment philosophy and process.
6)At what level is the strategy market-neutral vs. directional? Does this vary based on the risk premium? Does this vary based on the asset class? Does this vary over time?
7)Please detail the investment teams that are responsible for ongoing portfolio management, trading, and research.
8)What vehicles are available for a $60 million investment? What are the general fee and liquidity parameters?
9)Please provide a strategy pitchbook.
10)What is the firm AUM? Strategy AUM? Strategy platform AUM (if applicable)?
11)Please provide monthly returns (gross and net) for all strategies/time series that are relevant to this mandate. These can be backtests, related strategies, strategy carveouts, etc. Please provide these in Excel format.
Please send responses (soft copies only) to both:
Colin Bebee, CFA ()
Ryan Lobdell, CAIA ()
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