Response to Questions Received by 3/3/2017
Global Equity ESG Research
Request for Information No. 2017-8277
CALPERS-OSS-212 (12/27/07)
V.B.1.
1.
What is the official due date?
CalPERS:
2.
Where do I send my submission?
CalPERS:
3.
Attachment B Attachment A Respondent Certification Sheet Return and Holdings Template
What is the difference between a Corporation number and a firm’s Federal
Employer ID number?
CalPERS:
6.
2017 CalPERS Global
Equity ESG Research
How do we access the attachments?
CalPERS:
5.
[email protected]
Is it possible to provide the PDF file in Microsoft Word format?
CalPERS:
4.
March 31, 2017 at 5:00 p.m. (PST)
Any government issued ID number is acceptable.
Will you consider firms with AUM below $2 billion?
CalPERS:
CalPERS currently has an Emerging Manager Program
(EMP) for managers with AUM less than $2 billion. We
encourage firms with AUM below $2 billion to access the
link below for information related to the EMP.
https://www.calpers.ca.gov/page/investments/investment-managerengagement-programs/emerging-transition-manager
Response to Questions Received by 3/3/2017
Global Equity ESG Research
Request for Information No. 2017-8277
Page 2 of 3
7.
Does the proposed product need to have a specific ESG objective? Would
CalPERS consider an investment strategy that is NOT explicitly focused on ESG,
but one where ESG inputs impact the research process, analysts’
recommendations, and portfolio managers buy/sell decisions?
CalPERS:
8.
Do you envisage a strategy that systematically incorporates ESG to be in the
form of a quantitative process or overlay or can it be a qualitative overlay? Is the
search limited to active index strategies, or is it open to higher tracking error
funds? Would CalPERS consider a concentrated, high tracking error, high
conviction, and actively managed solution? Would you prefer information from a
more quantitative, systematic investment teams or from fundamental teams?
CalPERS:
9.
CalPERS is prioritizing the review of solutions that
represents broad equity exposure with acceptable risk
parameters as that approach is more aligned with our
internal integration preferences. However, we are not
prescriptive as to whether such a strategy is best
achieved through a systematic or fundamental
approach. If there is something unique about your firm’s
fundamental ESG integration processes, we are
interested in learning about its distinctness.
Is the RFI open to strictly domestic equity (US), or is it reserved for global
managers only? Would CalPERS consider a US-only equity strategy that
systematically incorporates ESG related investment considerations or will you
only consider global equity mandates?
CalPERS:
10.
CalPERS is seeking information on successful ESG
integration methodologies and therefore will consider all
strategies that integrate ESG characteristics into the
investment decision-making process. Strategies need
not be labelled or marketed with an ESG-related name.
Geography is not a limiting factor. The RFI is open to
domestic and global managers and strategies that cover
any geographic region.
What does “% factor risk” mean?
CalPERS:
We are looking for information regarding the portfolio’s
risk decomposition attributes and their relative
impact/contribution to performance.
Response to Questions Received by 3/3/2017
Global Equity ESG Research
Request for Information No. 2017-8277
Page 3 of 3
11.
Can a firm submit more than one strategy?
CalPERS:
12.
Does each ESG factor need to be included in the fund investment process, or is
the RFI open to one or two elements of ESG (i.e., environmental focus)?
CalPERS:
13.
Yes, a firm can submit more than one strategy. However,
the firm should highlight which strategy CalPERS
should prioritize in its review.
Strategies do not need to include multiple ESG factors.
The RFI seeks information on strategies that incorporate
at minimum one ESG element.
For the holdings file data, how should cash be labelled given the lack of
identifiers, price, or number of holdings?
CalPERS:
Identifier: use the three digit currency code combined
with “Cash_...”
Shares: local value (i.e., each unit equals one share)
Price: USD conversion price
Our internal tools will calculate the Market Value (USD)
of the position
See example below: