Subject: PASSIVE MANAGEMENT OF MORGAN STANLEY EUROPE, AUSTRALIA AND FAR EAST (EAFE) EQUITY INDEX PORTFOLIO REQUEST FOR INFORMATION
Dear Proposer:
The Los Angeles City Employees' Retirement System (LACERS) is seeking Request for Information (RFI) proposals from investment managers with expertise in passively managing separate account EAFE index portfolios.
The following questions refer to the passive management of EAFE Index portfolios only. In your written response to this RFI, please restate each question as listed below before answering.
1. Do you currently passively manage EAFE index portfolios for institutional clients? If so, please provide your LOWEST fee schedule for portfolios greater than and equal to $500 million.
2. How much institutional money did you passively manage in EAFE Index portfolios as of 3/31/2005?
$ millions / %Separate account
Commingled fund
Total funds / 100%
3. Please list your tracking error net of fees from the MSCI EAFE index return for each one-year period ending March 31 in the table below.
Portfolio rate of return (net of fees) / MSCI EAFE rate of return / DifferenceMarch 31, 2005
March 31, 2004
March 31, 2004
March 31, 2004
March 31, 2004
4. For the one-year period ending 3/31/2005, indicate the amount traded, the respective percentages, and the per share commission costs for your passively managed separate account EAFE index portfolios:
Average commission per share / MSCI EAFE index equities traded (US$) / MSCI EAFE index equities traded (%)Internal cross
External cross
Open market
Total / 100%
5. Describe your trading procedures for EAFE Index portfolio open market trades.
6. a. What is your historical tracking error annualized over the last 3 years? Provide the
annualized ex-ante tracking error as of 3/31/2005.
b. What is your approach to passive management of EAFE portfolios? Full
replication? Optimization? Stratified sampling?
c. How do you address currencies in this product?
7. a. Describe your ability and experience in accommodating large/frequent flows of
cash and/or securities into- or out of- the portfolio 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.
8. Provide the names, phone numbers, assets under management of your 5 largest institutional clients (public funds preferred), and number of years you have managed institutional accounts in this product for each.
9. 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 the following documents in order to participate in the RFI: 1) RFI Questionnaire Response; 2) Affirmative Action Program Form; 3) Vendor Child Care Policy Form; 4) Child Support Obligations Form; and 5) Americans with Disabilities Act Form. All documents may be downloaded from LACERS website at www.lacers.org. FAXED or E-MAILED RESPONSES WILL NOT BE ACCEPTED.
Please submit 15 copies by 4:00 p.m., Pacific Daylight Time, June 3, 2005 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
ATTENTION: PASSIVE EAFE INDEX MANAGER RFI
Managers may be requested to submit additional copies of their proposal. Any questions should be directed to Dan Gallagher at (213) 473-7124.
Robert Aguallo, Jr., General Manager
Los Angeles City Employees' Retirement System
RA:DPG
Enclosures