The Investment Market Research Request helped SURS identify available market strategies. As a result, three RFPs will be released in the coming weeks. No follow-up questionnaires are planned at this time.
The State Universities Retirement System (SURS) is seeking market research and information for several potential allocations for diversifying strategies. These strategies may include, but are not limited to: global macro, relative value, market/duration neutral equity and/or credit, and multi-strategies. A critical desired characteristic is minimal net equity and duration exposure.
Please note that systematic trend-following strategies are not appropriate for this request.
Submission Guidelines:
- Complete the questionnaire below.
- Responses should be concise and clear.
- Submit by 5:00 p.m. CT on Friday, May 30, to Procurement_Officer@surs.org.
SURS encourages Emerging Managers to respond. Managers that fulfill the general structure and intent of that mandate may be asked to complete a more detailed questionnaire at a later date. SURS will notify managers on or before Friday, July 11.
This is not a Request for Proposal (RFP). This inquiry is for informational and planning purposes only and does not constitute a formal solicitation for proposals. Responses will be treated as informational, and no reimbursement will be provided for any costs incurred.
We appreciate your input as we explore industry practices and developments to guide our future initiatives. Please let us know if you have any questions. As a reminder, submit by 5:00 p.m. CT on Friday, May 30, by emailing responses to Procurement_Officer@surs.org.
- How would you categorize the strategy? (global macro, relative value, market neutral, alternative risk premia, etc.)
- Describe the investment philosophy and process. Please provide information on unique market dynamics or security characteristics the firm seeks to exploit in this strategy.
- What is the portfolio construction methodology? How is portfolio risk distributed across asset classes and signal types? Does the portfolio target a specific volatility level?
- What instruments does the strategy trade (e.g., single stocks, cash bonds, futures, forwards, options, etc.)? Are derivatives partially or fully collateralized? How is the collateral for any margin product (such as futures) invested?
- To what extent is the strategy market neutral vs. directional? Is there a specific net exposure that you consider to be market neutral vs. directional? Does this vary based on the asset class and/or signal types? Does this vary over time? Does the strategy pursue only market neutral or only directional strategies? Does the strategy’s mandate allow it to toggle back and forth depending on market environment?
- How tactical is your strategy? That is, how often do you adjust your target positions? It can be helpful to provide an average historical holding period for positions if applicable.
- What is your firm’s definition of risk with respect to this product? If more than one, specify each with its percentage of importance. Please elaborate on how your firm monitors risk at the strategy level.
- Please detail the investment teams that are responsible for ongoing portfolio management, trading, and research.
- What vehicles are available for a $200 million investment? What are the general fee and liquidity parameters?
- Please provide a strategy pitchbook.
- When was the strategy incepted? Does the investment team/portfolio manager have a track record prior to this strategy managing a similar mandate?
- What is the firm AUM? Strategy AUM? Strategy platform AUM (if applicable)?
- 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.