Appendix E
City of Philadelphia
Board of Pensions and Retirement
High Yield Search Questionnaire
Firm: _____________________________________________________
Product: _____________________________________________________
1)
Do you agree to submit ALL questions in writing via e-mail to Dan Falkowski
([email protected]) and Christopher DiFusco
([email protected])?
2)
Did you submit a cover letter and complete a City of Philadelphia Tax Status and
Clearance document (which can be found in Appendix B of the RFP)?
3)
Is your firm SEC Registered under the Investment Advisers Act of 1940 and state Blue
Sky Laws? If your firm is exempted,
please note below.
4)
Is your firm a Minority, Women or Disabled (MWBDE) enterprise or based within the
legal boundaries of the City and County of Philadelphia? If your firm is a MWBDE firm,
did you include a copy of your firm’s certification as part of your response to this RFP?
5)
Is the proposed product offered in a separate account?
6)
Does the proposed product/firm have updated data for performance, personnel, AUM and
ownership (including women/minority percentages) through 12/31/2014 in PSN
Enterprise?
7)
Did you complete all sections of the City of Philadelphia Board of Pensions and
Retirement High Yield Search Questionnaire?
8)
Does the proposed strategy contain any shorted securities?
9)
(for non-diversity or non-local managers as of 12/31/2014) Does your firm have at least a
five year track record (three of these years may represent experience by individuals
whom had previously been with other firms, provided there is a contractual
representation that individuals utilizing experience from other firms are directly involved
with the management of the Fund's assets)?
10)
(for non-diversity or non-local managers as of 12/31/2014) Does your firm manage at
least $810 million in firm wide assets and at least $360 million in the strategy submitted
for this strategy?
11)
(for diversity or local managers as of 12/31/2014) Does your firm have at least a three
year track record (two of these years may represent experience by individuals whom had
previously been with other firms, provided there is a contractual representation that
individuals utilizing experience from other firms are directly involved with the
management of the Fund’s assets?
12)
(for diversity or local managers as of 12/31/2014) Does your firm manage at least $270
million in firm wide assets and at least $60 million in the strategy submitted for this
strategy?
13)
Please list the name, phone number and email address for the contact person for this
search.
I.
Organization
1. Please provide an overview of your organization and its history.
2. What is the ownership structure of your firm?
3. Please complete the following table below as it relates to your firm, as of
12/31/2014:
Total # of employees at firm
# of minority employees at firm
# of women employees at firm
# of employees who are both a woman and a minority at firm
Total # of investment professionals
Total # of minority investment professionals
Total # of women investment professionals
Total # of investment professionals that are both a woman and a minority
Percentage firm ownership owned by women
Percentage firm ownership owned by minorities
Percentage firm ownership owned by a person who is both a woman and a minority
4. Is the firm considered a minority, woman-owned, disabled-owned or local
(Philadelphia) business? If yes, please explain.
5. Describe any changes in the structure or ownership of the firm over the past
five years.
6. Are there any structural or ownership changes contemplated, including
succession plans?
7. Identify any specific owners who own more than 15% of the firm.
8. How many offices does the firm have where investment decisions are made?
Where is the firm’s main office located? Where is the team located for this
particular strategy?
9. Does any consultant, advisor, or single client represent more than 25% of the
firm’s assets under management? If so, please elaborate.
10. Please complete the table below relating to the total firm for the following
categories for the dates presented.
12/31/14
12/31/13
12/31/12
12/31/11
12/31/10
12
AUM
# of accounts
Total AUM and # of Accounts gained (YTD)
Total AUM and # of Clients lost (YTD)
11. Please complete the table below relating to the proposed product/strategy
assets by client type for the quarter ending December 31, 2014:
Client Type
Corporate
Public
Endowment
Foundation
Sub Advised
Mutual Fund
Commingled Trust
Other (specify)
Assets in millions $
12. Please complete the table below relating to the proposed product/strategy
assets under management as of the dates presented.
12/31/14 12/31/13 12/31/12 12/31/11 12/31/10 12/31/09
AUM
# of accounts
Total AUM and # of Accounts gained (YTD)
Total AUM and # of Clients lost (YTD)
II.
Personnel
1. Please provide the biographies of the final decision maker/makers for the
proposed product.
2. Is there an Investment Committee which has final decision making ability? If
so, who are the members of the Investment Committee?
3. For each member of the investment committee (or final decision maker(s) if
there is no investment committee), please list all strategies that this person is
involved with as well as any other responsibilities (ie: marketing, trading,
compliance, etc) in the table below.
Investment Professional's Name
Name of Each Strategy Covered
Add'l Respons
4. Please provide a list of all investment professionals involved with this
product, listing their title, years with firm, total industry experience and
education/certifications.
5. Please describe the compensation and bonus structure for investment
professionals. Please provide methodology for determination of an annual
bonus. Please indicate if there have been any changes to compensation
structure within the last three years.
6. Please detail the names of additions and departures, along with their title, to
investment personnel associated with the strategy/product for the year listed
below. Include portfolio managers, analysts and traders. For all departures,
please include reason for departure. If for confidentiality purposes, you cannot
disclose the reason, then please indicate whether each personnel departure was
voluntary or involuntary.
2014
Additions
Departures
2013
2012
2011
2010
2009
III.
Vehicle/Product Structure
1. Please state the name of the product which you are proposing for
consideration exactly as it appears in the PSN Enterprise.
2. What benchmark is most commonly used to evaluate this product that is being
proposed?
3. What is the inception date for the proposed product?
4. How many separate accounts are contained in the composite as of
12/31/2014?
5. What is the investment minimum requirement for a separate account?
6. Are you currently on any “watch” lists with any of your clients? If so, please
list the client and the reason for being placed on the watch list.
IV. Objective/Process
1. What is the investment objective for this product/strategy (please state the
targeted excess annual return versus your associated benchmark if
applicable)?
2. What market anomaly or inefficiency does this strategy seek to capture?
3. Why do you believe this philosophy will be successful in the future?
4. What specific factors are integral to the portfolio construction process? What
is the relative importance of these factors?
5. How are individual sector and security weightings determined?
6. Discuss the setting of duration targets, if applicable.
7. Please describe your investment process.
8. Have there been any changes or modifications to this investment process over
the last three years? If so, please provide an explanation.
9. How do you manage interest rate risk?
10. Are there any fixed income instruments that you typically avoid or strongly
underweight?
11. Describe your firm’s credit quality evaluation process.
12. How are ideas sourced for this strategy/product?
13. Please describe the research process. How much of the research is internally
generated versus externally generated?
14. Is the research process qualitative or quantitative? What tools are used?
15. Please describe the portfolio construction process, including the factors that
determine the sizing of positions.
16. How important is benchmark tracking error in the portfolio construction?
17. Describe how you use non-benchmark sectors to add value to the proposed
product mandate. List any percentage limits.
18. Is there an Economist on Staff?
19. Please describe your sell discipline.
20. Based upon your investment process, what would you expect to be the
primary drivers of performance attribution (please be specific)?
21. Please describe the environments in which your investment process would be
expected to perform best and worst.
22. (Refers to question #21) Please give a specific example of each as it relates
to your relative returns versus the benchmark.
23. Do you use derivatives in your proposed strategy? If so, which types and
what percentage of the portfolio do they represent?
24. Describe your discretionary investment guidelines for the proposed strategy,
such as maximum exposure including but not limited to the following:






To a single credit rating
To a single issue
To a single issuer
To a single sector or industry
To emerging market debt
To private placements / 144A issues, etc.
25. Discuss the trading process. Address any liquidity issues associated with this
strategy.
26. Is there a dedicated trader associated with this strategy? Do any of the
portfolio managers or analysts have trading responsibilities? Do any of the
traders have portfolio management or analyst responsibilities?
27. What unique feature(s) of this team’s investment approach adds the most
value?
28. Is there a particular size (number of clients or asset level) at which the team
might find it difficult to pursue its current investment strategy? Please
describe how this amount is calculated/determined.
V.
Risk
1. What are the top five risk factors associated with an investment in this
product/strategy?
2. Does your firm have a Risk Management Department? If so, please describe
the resources of the department and its role.
3. What is your firm’s philosophy regarding risk and how is it
monitored/reduced?
4. Has this philosophy changed over the past three years? If so, please describe.
5. Do you use cash as a method of risk control?
VI. Implementation
1. Please complete the tables below relating to the proposed product’s exposures
and its benchmark’s exposures as of the dates presented. Please note that the
benchmark used in the following tables should match the stated benchmark in
your answer to Section III, Question 2. Note: Other is not a category.
Please list additional sectors, as appropriate. Total sector breakdown plus
cash should equal 100%.
Proposed Product: _______________
12/31/2014 12/31/2013 12/31/2012 12/31/2011 12/31/2010 12/31/2009
US Corporate (US$
Denominated)
Non-US Corporate (US$
denominated)
Non-US Bonds
Preferred Bonds
Convertibles
Bank Loans
Cash
Number of Issues
Name of Benchmark: ________________
12/31/2014 12/31/2013 12/31/2012 12/31/2011 12/31/2010 12/31/2009
US Corporate (US$
Denominated)
Non-US Corporate (US$
denominated)
Non-US Bonds
Preferred Bonds
Convertibles
Bank Loans
Cash
Number of Issues
2.
Please complete the tables below for the proposed product for the dates
presented as a %:
12/31/2014 12/31/2013 12/31/2012 12/31/2011 12/31/2010 12/31/2009
AAA
AA
A
BBB
BB
B
CCC
D
Not Rated
12/31/2014 12/31/2013 12/31/2012 12/31/2011 12/31/2010 12/31/2009
Financials
Telecom
Energy
Consumer
Consumer
Industrials
Materials
Technology
Healthcare
3. Please complete the table below relating to the strategy’s average annual
default loss (%) and recovery rates for the calendar years provided.
2014
2013
2012
2011
Average annual default rate
Recovery Rate
VII. Performance
Please provide the relative net monthly returns versus the benchmark for the proposed product
(for example: if product return was 2% and the benchmark return was 1.3%, then put “.7%” in
the box).
2010
Year Jan Feb Mar Q1
2014
2013
2012
2011
2010
2009
Apr May Jun Q2
Jul
Aug Sep Q3
Oct
Nov Dec Q4
Ann.
VIII. Compliance
1. Describe your firm’s policies and procedures for complying with Federal Securities laws
and regulations.
2. Who is your Chief Compliance Officer? Please provide his/her biography.
3. Describe your compliance monitoring system.
4. When was your last SEC audit? What were the results?
5. Please describe any investigations by the SEC or any other regulatory bodies.
6. Provide a summary of any regulatory issue, investigation, sanction, or similar matter the
firm may have had during the last five years.
IX. Composite
1. Please provide details regarding the methodology used in calculating strategy returns.
2. Does your composite contain back-tested or simulated returns? If yes, please explain.
3. Are you GIPS compliant? If so, have your returns been verified by a third party vendor?
Please include as an attachment verification of any of these verifications.
4. Please provide composite disclosures.
5. Please list the number of accounts in your composite in the table below.
12/31/2014 12/31/2013
# of Accounts in composite
12/31/2012
12/31/2011
12/31/2010
12/31/2009
X. Fees
1. Please provide your fee schedule, including any type of performance related fee.