Annualised Alpha Target:
Investment Process Characteristics:
Pure quantitative process such as:
- Enhanced or re-engineered indexing.
- Factor risks or smart beta based.
- Data-driven quantitative models designed to generate bottom-up/top-down country/sector/stock decisions.
- Systematic processes that combine elements of any of the above.
Your philosophy will be grounded in academic research and/or internal proprietary insights that have identified specific market, and/or benchmark inefficiencies, that can be structurally exploited by a quantitative, model-based process.
Managers who should not apply:
- Traditional bottom-up fundamental stock-pickers should not respond to this questionnaire. Instead they should consider our parallel search on RFPnetworks to add a complementary fundamental manager to our equity portfolio.
- Fund of funds, or multi-managers will not be considered.
- Managers proposing passive benchmark replication will not be considered.
- Managers whose process cannot be executed against our benchmark should not respond.
- Your universe should be limited to developed markets as defined by the countries in our benchmark.
- Investments in non-benchmark companies listed in developed markets are allowed, without limitation.
- Number of portfolio holdings: Lower limit of 100 companies (soft minimum). Upper limit unbounded.
- Active country/sector/stock risk limits versus our benchmark – flexible.
- Active value, momentum, quality, size, dividend, volatility factor tilt limits versus our benchmark – flexible.
- No investments in companies listed in emerging market countries as defined by MSCI.
- Exposure to both value and growth companies is required - weightings at the discretion of the manager.
- Your product should be designed to outperform our benchmark by at least 50 basis points p.a. net of your annual management fee.
- (Hard knock-out) A live track record of less than 1 year as of 31 July 2022 for the product being proposed will not be considered.
- (Hard knock-out) A live track record of less than 3 years will need to be supported by a back-tested validation, or track record at a previous firm, for the model(s) being used in the process.
- Performance data should be in USD, not GBP.