a.company background and general … small cap.docx · web viewquestions concerning the request...

140 East Town Street / Columbus, Ohio 43215-5164 / Tel. (614) 228-2975 / www.op-f.org

4 September, 2015

Dear Potential Provider:

The Ohio Police & Fire Pension Fund is requesting proposals from qualified firms interested in providing U.S. small cap core equity investment management services. The specific services requested via this RFP are contained in Section II, Scope of Services.

If you are interested in responding, please submit: Paper copies: one unbound original proposal and 3 copies by 3:00 PM, EST, Friday, 9 October, 2015, to:

Mr. Robert ThellerSenior Investment OfficerOhio Police & Fire Pension Fund140 East Town Street, 8th FloorColumbus, OH 43215-5164

Electronic copies: one searchable PDF copy and one Word.docx copy of the proposal by 3:00 PM, EST, Friday, 9 October, 2015, to: [email protected], and [email protected].

Additional instructions for proposal submission, including information regarding the number of copies to be sent to Wilshire Associates, are included in the Request for Proposals. Questions concerning the Request for Proposal must be submitted in writing by 3:00 PM, EST, Monday 21 September, 2015.

Thank you for your interest in this Request for Proposal and we look forward to your response.

Sincerely,

Mr. Theodore HallChief Investment Officer

mailto:[email protected]


http://www.op-f.org/

I. Background Information

The Ohio Police & Fire Pension Fund (OP&F) is a statewide defined benefit retirement plan for the police and firemen employed by the municipalities, townships and villages of Ohio. Benefits include service retirement, disability retirement, survivor benefits, and health care coverage for benefit recipients and their dependents. General administration and management of the plan is vested in the OP&F Board established under Chapter 742 of the Ohio Revised Code.

As of June 30, 2015, investment assets totaled $14.5 billion and were broken out as listed in the below table.

30-Jun-15 30-Jun-15 Long-term Asset Class Actual ($bil) Actual % Target %U.S. Equity $3.45 23.70% 16.00%Non- U.S. Equity $3.36 23.10% 16.00%Master Limited Partnerships $0.89 6.10% 8.00%Core Fixed Income $1.41 9.70% 10.00%Global Inflation Protected $1.09 7.50% 10.00%High Yield Bonds $1.86 12.80% 15.00%Real Estate $1.46 10.00% 12.00%Private Markets $0.77 5.30% 8.00%Timber $0.22 1.50% 5.00%Cash $0.04 0.30% 0.00%Total $14.55 100.00% 100.00%

II. Scope of Services

The purpose of this Request for Proposal is to select an investment adviser to manage approximately $225 million in total of assets in a U.S. small cap core equity portfolio. OP&F will accept proposals to manage these assets in an active-oriented approach. Proposals submitted for other strategies will not be accepted.

OP&F will select an investment adviser in accordance with the Selection Criteria contained in Section VII of this Request for Proposal. Investment advisers selected to perform these services will also be required to perform the following additional services for OP&F: 1) submit monthly asset, transaction and performance statements within two weeks of each calendar quarter end; 2) attend periodic performance reviews in Columbus, Ohio, and allow site visits when necessary; and 3) provide monthly/quarterly performance reconciliations to OP&F and OP&F's general consultant, Wilshire Associates.

of 33 Ohio Police & Fire U.S. Small Cap RFP issued 09-04-2015

III. Proposal Specifications

A. Proposal Deadline

The completed hard copy proposal must be delivered by 3:00 PM, EST, Friday, 9 October, 2015. Any proposal delivered after the proposal deadline will not be considered. Faxed transmissions are not acceptable. The original (unbound) and three copies of the proposal (bound), as well as a full electronic copy (one searchable PDF copy and one Word.docx copy) are to be sent to the attention of:

Mr. Robert ThellerSenior Investment OfficerOhio Police & Fire Pension Fund140 East Town Street, 8th FloorColumbus, OH [email protected]

In addition, please send one bound copy and a full electronic copy (one searchable PDF copy and one Word.docx copy) of your proposal to the following representative of OP&F’s general consultant:

Mr. David L. Lindberg, CFAManaging DirectorWilshire Associates Incorporated210 Sixth Ave., Suite 3720Pittsburgh, PA [email protected]

The questions and/or requests made in this RFP shall be duplicated in their entirety in the proposal with each question and/or request repeated before the answer or response.

The proposal must be accompanied by a cover letter that should be signed by at least one individual who is authorized to bind the firm contractually. The cover letter must include: a) the firm name, address, E-mail address and telephone/fax numbers; b) the client contact; c) the title or position which the signer of the cover letter holds in the firm; and d) a statement to the effect that the proposal is a firm and irrevocable offer of the firm.

The Representations and Warranties contained in Section VIII of this Request for Proposal, signed by an authorized officer of the firm, must be included as an attachment to the cover letter previously referenced.

All proposals will not be available for public inspection until a final contract has been entered into with the successful proposer. All proposals received in response to the RFP will be maintained by OP&F and are a matter of public record and subject to public inspection.




B. Communications with OP&F

OP&F's contact for this RFP is:Mr. Robert ThellerSenior Investment OfficerOhio Police & Fire Pension Fund140 East Town Street, 8th FloorColumbus, OH [email protected]

As of 4 September, 2015 , firms which intend to submit a proposal should not contact any member of OP&F staff, members of the Investment Committee, or members of the OP&F Board. An exception to this rule applies to firms who currently do business with OP&F, such as OP&F's current investment managers, but any contact made by such firms with OP&F should be limited to that business, and should not relate to this RFP. In addition such firms should not discuss this RFP with any employee of OP&F's custodian (Huntington National Bank), outside managers, or consultants (Wilshire Associates).

C. Questions Relating to this RFP

All questions concerning this RFP must be received by OP&F by 3:00, PM, EDT on Monday 21 September, 2015 via email to [email protected]. Questions received in accordance with this section will be answered directly to those firms posing a question and will be available to all firms as follows: A copy of all questions and answers may be obtained starting Friday 25 September, 2015 by accessing the OP&F web page at www.op-f.org, selecting the RFP’s link and then selecting the Q&A link for the U.S. Small Cap Core Equity Search. Questions submitted after the question deadline will not be considered.

D. Incurring Costs

OP&F will not reimburse the recipients of this Request for Proposal for costs incurred in the preparation of the proposal.

E. Rejection of Proposals

OP&F reserves the right to reject any non-qualifying proposals, as well as the right to reject all proposals submitted under this request for proposal.


http://www.op-f.org/



F. Fiduciary Bond Insurance Requirements

OP&F will require investment managers to have not less than $5 million of employee dishonesty (fidelity) coverage. If retained, the manager will be required to certify that it is compliant with this requirement by furnishing a current certificate of insurance that includes all of the following information:

1. Coverage (one of the following types of policies are acceptable):(a.) Financial Institution Bond (e.g. Bankers Blanket Bond, Insurance Company Bond, Stockbrokers Blanket Bond)(b.) Commercial Crime (may state “Employee Dishonesty”, but not “Errors and Omissions”).(c.) Fiduciary Fidelity Bond (As an alternative to a separate fiduciary bond policy, please show certification that you are in compliance with Section 742.112 of the Ohio Revised Code, in lieu of Section 412 of the Employee Retirement Income Security Act of 1974. This requires proof that you have raised the bond to $5,000,000 from ERISA’s $500,000 requirement.)

2. Limit of Insurance (this must be at least $5,000,000).3. Name of Insurance Carrier(s)4. Policy Number(s) 5. Policy Period (Please show both the effective date and the cancellation date.)6. Ohio Police and Fire Pension Fund listed as an additional named insured on the face of the insurance certificate.

G. Disclosure Requirements As a material inducement for Investor to enter into the Agreements, the Investment Manager represents and warrants to Investor that the Investment Manager has not and will not pay any remuneration directly or indirectly to any third party in connection with the Agreement, including, but not limited to finder’s fee, cash solicitation fee, or for consulting, lobbying, advising on obtaining business from Investor or otherwise. The Investment Manager also represents, warrants and covenants to Investor that it has not and will not receive any compensation or other remuneration, other than from Investor as set forth in the Agreements, for services related to Investor or obtaining contracts from Investor. The Investment Manager acknowledges receipt of and will comply with Investor’s Vendor Disclosure and Restrictions to Board of Trustees, which is attached as Exhibit A and the Reporting and Registration Requirements under Ohio Law, which is attached as Exhibit B. Further that all potential respondent vendors must file the “Ohio’s Declaration of Material Assistance/Non-Assistance to a Terrorist Organization” attached as Exhibit C (and separately) as a required part of their initial response.


H. Terms and Conditions

OP&F makes no representations or warranties, expressed or implied, as to the accuracy or completeness of the information in the RFP and nothing contained herein is or shall be relied upon as a promise or representation, whether as to the past or the future. The RFP does not purport to contain all of the information that may be required to evaluate the RFP and any recipient hereof should conduct its own independent analysis of OP&F and the data contained or referenced herein. OP&F does not anticipate updating or otherwise revising the RFP other than described herein. This RFP may be withdrawn, modified or re-circulated at any time at the sole and absolute discretion of OP&F.

OP&F reserves the right, at its sole and absolute discretion and without giving reasons or notice, at any time and in any respect, to alter these procedures, to change and alter any and all criteria, to terminate discussions, to accept or reject any response, in whole or in part, to negotiate modifications or revisions to a response and to negotiate with any one or more respondents to the RFP.

OP&F is not and will not be under any obligation to accept, review or consider any response to the RFP, and is not and will not be under any obligation to accept the lowest offer submitted or any offer at all. OP&F is not and will not be under any obligation to any recipient of, or any respondent to, the RFP except as expressly stated in any binding agreement ultimately entered into with one or more parties, either as part of this RFP process, or otherwise. Any decision to enter into a binding agreement with a respondent to this RFP is in OP&F’s sole and absolute discretion.

IV. Selection Process

A. Non-Qualifying Proposals

OP&F will evaluate each proposal to determine if it was submitted in accordance with the requirements set forth in this RFP, including whether the proposing firm meets the minimum criteria. All non-qualifying proposals not subject to the waiver/cure of minor information will be rejected at this time and the proposing firm so notified.

B. Selection of Investment Managers

Staff and the Board’s investment consultant will evaluate all RFPs having met established criteria and produce written reports summarizing the findings and manager rankings to the Investment Committee/Board of Trustees. The Investment Committee/Board of Trustees will consider the staff and consultant reports as well as other material information when determining the list of managers for finalist interviews. The Investment Committee/Board of Trustees will interview and evaluate the finalists with the assistance of staff and the investment consultant. The staff, investment consultant and/or Investment Committee/Board of Trustees may conduct a


due diligence visit with the finalists. The Board may approve, fail to approve or modify the amount and/or timing of funding, investment guidelines and fees of the approved managers.

V. Tentative Time Table

The following is the tentative time schedule for OP&F's search for firms to provide investment management services. All dates are subject to modification by OP&F.

Issuance of RFP: 4 September, 2015

RFP Question Deadline: 21 September, 2015(Firm) 3:00 PM, EDT

Response to Written Questions: ~ 25 September, 2015

RFP Response Deadline: 9 October, 2015(Firm) 3:00 PM, EDT

Notification of Finalists: Week of 21 December, 2015(Tentative)

Investment Committee/Board Interviews: Week of 25 January, 2016(Tentative)

VI. Minimum Criteria

All firms submitting Proposals must meet the following minimum criteria:

1. The subject product must have at least a three-year performance history as a dedicated U.S. small capitalization strategy as of June 30, 2015. Representative assets from broader strategies will not satisfy this criterion.

2. The primary investment professionals (i.e. portfolio managers, analysts, etc.) responsible for the management of the subject product must have at least a three-year performance history in the subject product as of June 30, 2015.

3. The candidate must have at least $1 billion in U.S. small capitalization assets under management in the subject product as of June 30, 2015.

4. The subject product must have a three year Information Ratio (relative to Russell 2000 Index) of 0.4 or higher as of June 30, 2015.

5. The candidate must be SEC-registered or exempt from registration with the nature of the exemption provided. If the candidate does not have SEC-registration but has similar registration in a country other than the U.S., the Ohio Police & Fire Pension Fund, with its


discretion, may decide such registration is deemed to meet this criterion. The firm must submit its full Form ADV (Parts I, IIA and IIB).

6. The candidate must have at least five U.S. tax-exempt institutional clients in the product being proposed as of June 30, 2015.

7. The candidate must have been in operation as an investment management organization for at least three years as of June 30, 2015.

8. The candidate must not be proposing a manager of managers strategy.

9. The subject product must be up to date in the Wilshire Investment Database. At a minimum the product must include inception to date monthly returns and have uploaded at least the trailing 12 quarters of historical portfolio holdings ending June 30, 2015. Providing information to the Wilshire Investment Database is done through Wilshire’s online collection platform: https://compassportal.wilshire.com.

Any firm not already providing data through Compass Portal must request that an account be established for their firm by completing the New Firm Request Form which can be accessed here: https://compassportal.wilshire.com/NewFirmRequest.aspx

Data must be submitted into the Wilshire Investment Database no later than September 30, 2015.

VII. Selection Criteria

OP&F may apply the following criteria in the selection of an investment manager. Using these ratings as a guide, finalists will be selected for interviews with the Investment Committee/Board of Trustees.

A. Stability and experience of firm in the investment product;

B. Quality, stability, depth and experience of investment professionals;

C. Client service and relationships;

D. Investment philosophy and process;

E. Investment performance and risk control; and,

F. Investment fees.


https://compassportal.wilshire.com/NewFirmRequest.aspx

https://compassportal.wilshire.com/

VIII. Representations and Warranties

All proposers are required to submit an executed copy of the following Representations and Warranties as an attachment to the cover letter described in Section III of this RFP:

A. Proposer warrants that it will not delegate its fiduciary responsibilities.

B. Proposer warrants that it has completed, obtained, and performed all registrations, filings, approvals, authorizations, consents or examinations required by a government or governmental authority.

C. Proposer warrants that it meets all of the minimum criterion applicable to the firm under the RFP as follows:

[Please list each minimum criterion (pages 6 & 7) and specifically describe how your firm meets the applicable minimum qualifications specified in Section VI.] Failure to do so may be cause for disqualification. The criterion are:

1. The subject product must have at least a three-year performance history as a dedicated U.S. small capitalization strategy as of June 30, 2015. Representative assets from broader strategies will not satisfy this criterion.

2. The primary investment professionals (i.e. portfolio managers, analysts, etc.) responsible for the management of the subject product must have at least a three-year performance history in the subject product as of June 30, 2015.

3. The candidate must have at least $1 billion in U.S. small capitalization assets under management in the subject product as of June 30, 2015.

4. The subject product must have a three year Information Ratio (relative to Russell 2000 Index) of 0.4 or higher as of June 30, 2015.

5. The candidate must be SEC-registered or exempt from registration with the nature of the exemption provided. If the candidate does not have SEC-registration but has similar registration in a country other than the U.S., the Ohio Police & Fire Pension Fund, with its discretion, may decide such registration is deemed to meet this criterion. The firm must submit its full Form ADV (Parts I, IIA and IIB).

6. The candidate must have at least five U.S. tax-exempt institutional clients in the product being proposed as of June 30, 2015.

7. The candidate must have been in operation as an investment management organization for at least three years as of June 30, 2015.

8. The candidate must not be proposing a manager of managers strategy.

9. The candidate will meet the reporting requirements for the subject product in the Wilshire Investment Database as described on page 8.


_____________________Name of Firm Date _____________________Signature Title

IX. QUESTIONNAIRE

U.S. SMALL CAP CORE EQUITYINVESTMENT MANAGEMENT

PRODUCT NAME:

FIRM NAME:

ADDRESS:

TELEPHONE #:

FACSIMILE #:

E-MAIL ADDRESS:

CLIENT CONTACT:

SIGNED:

Name (print):

Title:

Date:


A. COMPANY BACKGROUND AND GENERAL DESCRIPTION

1. Indicate your firm’s fiduciary classification:

Bank

Insurance Company

Registered Investment Advisor(Investment Advisors Act of 1940)

Affiliate of Fiduciary(Name and Classification):

Other:

2. Give a brief history of the firm including:

a. the month and year of SEC 1940 Act registration,

b. the month and year the subject product was introduced.

3. Describe the ownership of the firm, including but not limited to:

a. ownership structure,

b. affiliated companies or joint ventures,

c. if an affiliate, designate percent of parent firm’s total revenue generated by your organization,

d. if the firm is a joint venture partner, identify the percentage of ownership and revenues recognized by each partner to the combined association.

4. Provide an organizational chart diagramming the relationships between the professional staff as well as the parent-subsidiary, affiliate, or joint venture entities.

5. If applicable, which management/administrative functions are handled internally and which are handled externally (i.e. by a corporate parent or outsourced altogether)?


6. If your firm is part of a corporate parent and does not exercise full operating control, please discuss to what extent your corporate parent is involved in managing your firm’s business affairs.

7. Describe the governance process for how investment products are managed from a business standpoint. How are product-specific issues such as asset/client account capacity, client service responsibilities, and business strategy determined?

8. If your firm is managed autonomously from the controlling entity, please demonstrate what aspects in your corporate governance structure enable your firm’s officers to exercise autonomous control.

9. Does your firm undergo an annual financial audit? If so, who is the auditor? How often are your financial statements audited by a third party? When was the last audit? Has your firm changed auditors over the last three years? Please elaborate on any material findings from your auditors in the last three years. Attach a copy of your audited financial statements in the Appendix.

10. Describe the levels (U.S. dollar amounts) of coverage for SEC-required (17g-1) fidelity bonds, errors and omissions coverage and any other fiduciary coverage, which your firm carries. List the insurance carriers supplying the coverage.

11. Over the past five years, has your organization or any of its affiliates or parent, or any officer or principal been involved in any business litigation, regulatory or legal proceedings? If so, provide a detailed explanation and indicate the current status. Also provide complete Form ADV (Parts I and II and accompanying schedules).

12. Describe in detail any potential conflicts of interest your firm may have in the management of this account. Include any activities of affiliated or parent organizations, brokerage activities, investment banking activities, or any past or current relationships with Board members and investment staff. Include any other pertinent activities, actions, or relationships not specifically outlined in this question. Disclose any business relationship with Wilshire Associates.

13. Describe all outside marketing/sales services (including product design and development) for which your firm has contracted over the last three years for the marketing of your investment services to the institutional, tax-exempt market. Specify any such arrangements as they relate to the product being proposed. Indicate whether the fees paid for such services are charged to client portfolio assets.

14. Describe the material developments in your organization (changes in ownership, personnel, business, etc.) over the past three years in detail.

15. Do you have a plan and arrangements in place for an alternative worksite should your facilities become inoperative because of fire, earthquake, etc.?


B. ASSETS UNDER MANAGEMENT

June 30, June 30, June 30,June 30,June 30,June 30,2010 2011 2012 2013 2014 2015

1. (a) Total assets under manage-ment (all products) ($ millions)

(b) Total assets in subject product(retail & institutional)($ millions)

(c) Total institutional (taxable and non-taxable) assets in subject product ($ millions)

Number of Institutional Accounts

2. Please list 5 largest U.S. tax-exempt institutional accounts currently managed in the subject U.S. small cap core equity product. Please indicate whether the client is invested in the commingled fund or the separate account.

(June 30, 2015)Name Date of Inception Market Value

3. List all clients and asset amounts gained in the subject product over the past three years as of June 30, 2015.

4. List all clients and asset amounts lost in the subject product over the past three years as of June 30, 2015.

5. For the subject U.S. small cap core equity product, what are the minimum separate account sizes that can be accommodated? For account sizes listed on the cover to this


RFP, would you recommend your commingled fund or a separate account? If a commingled fund, please describe the vehicle, including its investment (i.e. guidelines, etc.) and operational (i.e. dates of openings, liquidity, etc.) parameters.

6. Describe the objectives of your firm with respect to future growth in the product, commenting on: Additional resources for portfolio management, research, trading, client service

and tools/models to enhance the investment process or manage growth; and, Size limitations with respect to assets under management in the product. How did

you arrive at those asset limits? Are companion retail mutual fund assets and assets in this category from broader mandates included in these limits? Describe.

7. Identify three clients that have terminated accounts in the subject product over the past three years that can be contacted as references. Provide the firm name, contact person and title, phone number, product name, fund account value, date or termination, and reason for termination. Unless your firm has not had any accounts terminated, you must identify and provide contact information.

8. Provide the client name, address, phone number, contact name, title, and account type (e.g. defined benefit, defined contribution, endowment) of three accounts, who are invested in the subject product that can be contacted as references. Also indicate the length of your relationship and assets under management for each reference. You must identify and provide contact information.


C. PEOPLE/ORGANIZATION

1. How many portfolio managers are employed in the product? How many research analysts support this product? Please specify locations, state the number of accounts each manages and include the dollar value of assets under management. Indicate those associated with U.S. tax-exempt accounts.

2. Provide a list of the professionals involved in the subject product in the manner listed below:

PORTFOLIO MANAGEMENT

NameTitle/

ResponsibilitiesYrsExp

Yrs @Firm

Degrees/Designations

SponsoringBody/School

RESEARCH

NameTitle/


Yrs @Firm



TRADING

NameTitle/


Yrs @Firm



3. Describe your internal training procedures for portfolio managers, traders, and research analysts.

4. Describe the background of professionals directly involved in the asset class. Are they brought in from the outside or promoted to their positions from within the

organization? Is their prior experience in portfolio management/research/trading, industry, consulting,

or other business or technical areas? What sort of ongoing education programs (for example MBA or the CFA program) are

encouraged or required?

5. What personnel or organizational improvements are planned over the next years?

6. Provide biographies of no longer than one paragraph on each of the persons listed in Question C.2.


7. Provide an organizational chart that diagrams the different functions (research, trading, etc.) dedicated to the product area. Professionals should be identified over their areas of responsibility.

8. Describe the compensation and incentive program for professionals directly involved in the product. How are they evaluated and rewarded? What incentives are provided to attract and retain superior individuals? Identify the percentage of compensation which is:

o Base salaryo Performance bonuso Equity incentiveso Other

Do you offer direct ownership, phantom stock, profit sharing, and/or performance bonus?

Who is eligible to participate? On what basis are these incentives determined – is compensation tied to success factors

such as asset growth, performance, or other factors? Please list and indicate the weight of each in determining total compensation.

9. Discuss the causes and impact of any turnover (departures or hiring/promotions) of any professionals directly involved in the product you have experienced in the past five years. Indicate when and why any professional dedicated to the product left or joined the firm in the past three years. What were/are their job responsibilities? For personnel who have left indicate job titles and years with the firm and who replaced them.

JOINEDDate Name/Title Responsibilities

DEPARTED

Date Name/Title ResponsibilitiesYrs @ Firm Reason for

leaving

Replaced by(name/title)


D. INVESTMENT PHILOSOPHY, POLICY AND PROCESS

1. Describe your investment philosophy for the U.S. small cap core equity product. Why do you believe that your philosophy will be successful in the future? Please provide any evidence or research that supports this belief.

2. Provide a detailed discussion of the investment process for this product. Include in your discussion how security, sector country and/or regional decisions are made. Also define your investable universe, including countries. How many stocks are actively researched in depth for potential inclusion in the portfolio? Please differentiate between quantitative and qualitative processes that lead to a security’s inclusion in the portfolio.

3. Provide the names, titles and responsibilities of the individuals and/or committees involved at each stage of the portfolio construction process described in your answer to the previous question. Discuss the latitude portfolio managers have to make decisions. Discuss the latitude research analysts have to make decisions. Contrast the contribution of inputs of research analysts to the investment process versus portfolio managers.

4. What percentage of resources and time does your firm devote to the top-down aspect of your approach versus the bottom-up (security selection) aspect of your process?

5. Describe any changes to your investment philosophy or process over the past five years. Do you anticipate any changes to the investment philosophy or process in the future?

6. Describe your research process. If applicable, discuss in detail your analyst research platform. Do portfolio managers also have research responsibilities? If so, distinguish these from the responsibilities of the research analysts, if applicable.

7. Discuss the importance of company visits to your process. Is a company visit mandatory before you would purchase a security for the portfolio? How many company visits do you conduct every year? What is the percentage of time that key investment professionals are outside of the office on research trips, and what access would OP&F have to these professionals during this time?

8. Describe external information sources and how they are used in the research process.

9. Discuss in detail the use of third-party research in your investment process. How does your firm pay for this research?

10. Describe any valuation approaches used in the security, sector, country and/or regional selection decisions.

11. What is the range of market capitalizations (lowest and highest) for which you will consider investing in this U.S. small cap core equity product?

12. Do portfolios differ based on client objectives?


13. For the accounts in the subject composite please provide the following information:

2011 2012 2013 2014

Number of AcctsHigh ReturnLow ReturnAverage Return

Comment year-by-year as to the cause of return dispersion.

14. How does your firm implement its process (buy and sell decisions)? To demonstrate this process discuss a security purchased for the portfolio in the last three months, and discuss a security sold from the portfolio within the last three months. Under what circumstances would your firm deviate from its disciplines?

15. Describe the circumstances or market conditions that would favor your investment strategy. Provide examples of conditions in which your strategy has performed well relative to the Russell 2000 U.S. small cap Index (USD) or a broad U.S. small cap core index.

16. Describe the circumstances or market conditions that would not favor your investment strategy. Provide examples of conditions in which your strategy has not performed well relative to Russell 2000 U.S. small cap Index (USD) or a broad U.S. small cap core index.

17. Does your strategy allow investment outside of companies in the Russell 2000 U.S. small cap Index (either tactically or strategically)? If applicable, discuss the use and importance of these investments to your strategy.

18. If the subject product uses derivatives please discuss how they are used, strategies employed and the extent of their use, the experience of staff in managing derivative instruments, and whether leverage is being employed.

19. If the subject product uses derivatives please discuss in detail your procedures for measuring, monitoring and managing the risks associated with derivatives. Describe the expectation for use of exchange traded versus OTC derivatives.

20. Please describe the portfolio’s expected cash position and circumstances that would lead to higher than expected cash holdings. Do you use cash as a method of risk control?

21. How is portfolio risk monitored and controlled? Discuss any applicable risk controls like sectors, value or growth style exposures, individual stocks, and capitalization. Is there an


explicit benchmark tracking error target for this strategy? Do you use a risk measurement model (such as Barra) and if so, how is this analysis incorporated into the process?

22. Provide your internal guidelines for this product managed as a fully discretionary account.

23. Describe how your product would assimilate a new allocation.

24. If applicable please provide a copy of the offering documents and/or subscription agreements for the subject U.S. equity small cap core product.

25. If proposing a mutual, commingled, collective or otherwise pooled fund, do you enter into side-agreements which give certain investors preferential terms over the standard terms provided in the funds’ documents? What issues are covered by existing side-agreements (liquidity, fees)?

26. The portfolio managed on behalf of OP&F (if a separate account) is subject to future legislation prohibiting the purchase of the securities of companies doing business in Iran and Sudan. A list of such securities is updated monthly on the OP&F website. Describe in detail how you would ensure that the stocks of prohibited companies are not purchased for OP&F’s portfolio. Describe your experience managing portfolios on behalf of clients with similar restrictions.


PORTFOLIO CHARACTERISTICS

1. How many securities are contained in a typical portfolio?

2. What has the average annual portfolio turnover been in 2011, 2012, 2013 and 2014? What originated the turnover (asset allocation, changes in country allocation, changes in security selections, etc.)? Specify if you are reporting total turnover (including trims/adds) or name turnover.

3. Provide the following allocations as a percentage of a typical portfolio at the end of the periods indicated below.

3/13 6/13

9/13 12/13

3/14 6/14 9/14 12/14

3/15 6/15

4. Provide the following allocations to market capitalization as a percentage of a typical portfolio at the end of the periods indicated below.

3/13

6/13 9/13 12/13

3/14 6/14 9/14 12/14

3/15

6/15

> $4 bn

$2 bn - $4 bn

$1 bn -$2 bn$500 mn - $1 bn$250 mn - $500 mn

<$250 mn


5. Provide the weighted average characteristics of a typical portfolio at the end of the periods indicated below. (Indicate NA if not available.)

3/13 6/13 9/13 12/13

3/14 6/14 9/14 12/14

3/15

6/15

P/EP/BP/CFHistorical 3-yr EPS GrowthForward Earnings Growth*ROE# of HoldingsWtd Avg Market Cap

6. Provide the GICS sector allocations of a typical portfolio at the end of the periods indicated below:

Sector 3/1

36/13

9/13

12/13

3/14

6/14

9/14

12/14

3/15

6/15

Cons DiscretTelecom ServicesHealth CareInfo TechCons Staples


EnergyIndustrialsMaterialsUtilitiesFinancials

7. What is your maximum single stock position both at time of purchase and at market? Is this a function of the relative weight within the benchmark? What are your maximum and minimum sector and industry weights? How were these parameters established? What is your minimum and maximum portfolio weighted average market capitalization?

8. Specify the number of days it would take to liquidate 50%, 75%, 95% and 100% of the subject U.S. small cap core product assuming an investment of $50 million, $100 million, $150 million, and $200 million.

9. Describe how your firm defines leverage, and your philosophy and strategy related to the use of leverage. Do you employ leverage in the management of the subject U.S. small cap core product? If so, how much leverage can the strategy use based on its policies?

EQUITY TRADING

1. Describe in detail your process for executing trades in U.S. small cap core equity portfolios. Include in your discussion whether trades are executed through centralized brokerage operations. What is (are) the location(s) of your firm’s trading desk(s)?

2. Describe the process by which trades are allocated among each separate account, commingled funds and other investment vehicles. How is trade allocation considered for an initial position for a new separate account with respect to existing accounts?

3. Who is your head of trading? Please discuss his or her background, and specifically discuss this individual’s experience with respect to trading U.S. small cap core equities.

4. How many traders does your firm employ? How many of them are dedicated U.S. small cap core equity traders? Discuss each trader’s experience with respect to transacting in U.S. small cap core equities.

5. What are the unique challenges and risks of effectively transacting in U.S. small cap core equities? Please cite specific markets and discuss how you address these challenges.


6. Which other strategies offered by your firm are closely allied with the subject product and would typically be buying and/or selling similar securities at the same time as the subject product? What is the AUM of these strategies?

7. If your firm, its parent or affiliate is a broker/dealer, does your firm trade for client accounts through this broker/dealer? With respect to U.S. small cap core portfolios, does your firm engage in any affiliated transactions? If yes, please discuss the percentage of your trading completed through affiliated transactions, and under what circumstances an affiliated trade is executed.

8. Discuss how your firm internally monitors trading costs, including final price determination and explicit transaction costs. Do you employ the services of a third-party to evaluate trading costs (i.e. ITG, Global Trading Analytics, and Abel Noser)?

9. What is your average commission cost per share in U.S. small cap core markets?

10. Discuss the considerations of your firm when selecting broker/dealers with which to conduct business. How are trades allocated to broker/dealers? How do you evaluate your overall relationships with broker/dealers?

11. If applicable, how do you manage broker/dealer counterparty risk with respect to equities (the risk that a broker/dealer is unable to perform its commitment to an equity transaction)? Specifically,

i. How do you evaluate the financial strength of your broker/dealer counterparties for equity transactions? What risks do you review during your assessment of broker/dealers for equity transactions?

ii. Do you have a process of maintaining an approved broker/dealer list for equity transactions? Do you have a process of approving and monitoring counterparty exposure? If yes, please describe the process.

iii. Do you manage the concentration risk within the context of broker/dealer counterparty risk (e.g. by tracking firm-wide aggregate trading activities with an individual counterparty against an exposure limit)? If yes, please describe the process.

12. Discuss your soft dollar policy.

CUSTODY AND VALUATION

If your proposal is to offer a commingled account structure or similar arrangement to OP&F, please answer the questions in this section. If you are only proposing a separate account, please go to the “Compliance” section.


1. If you offer a commingled product, who is the custodian? Has the firm ever changed custodians? If so, please list the previous custodian and the reason for the change.

2. Discuss in detail your process to select a custodian. Why did you select your custodian, and how do you monitor their performance?

3. Under the product structure, does the custodian see the manager or the client as the owner of the assets?

4. Does the firm engage in securities lending with the assets in this product? If so, provide the investment guidelines for the cash collateral pool in which security lending proceeds are invested.

5. OP&F requires that commingled strategies provide periodic holdings (daily is preferred) and other information to OP&F and its investment consultant. Please discuss your willingness to provide the product’s holdings to these parties and the timeframe under which the holdings would be provided.

6. What is the process for and who is responsible for valuing the fund’s assets?

7. To what extent are your investment professionals involved in the valuation process?

8. What 3rd party pricing services do you use and in what capacity?

9. Please provide a copy of your pricing policies.

a) How are stale prices monitored?

b) Who calculates the fund’s NAV? How often is the NAV released? Please describe the process for calculation and review of NAV calculations. How soon after the end of the relevant period is the NAV released?

COMPLIANCE

1. Briefly describe your firm’s back office divisions covering general compliance, information technology, client service/portfolio accounting, and marketing. Where do these divisions overlap across business units (investment products, retail vs. institutional, functional units) and where are there dedicated support functions for each of these units?

2. Describe the participation of legal/compliance staff on firm oversight, management or similar committees.

3. Describe the use of technology in the compliance process and any planned technological upgrades.


4. Describe your pre-trade and post-trade compliance processes. Is these automated systems? What system(s) do you use?

5. Describe how your compliance system is tested.

6. Describe how the compliance system is maintained, monitored and evaluated giving the frequency or schedule. Is the maintenance done internally and/or externally?

7. Provide a sample “fail” transaction where there was a marginal violation of guidelines, and a “fail” transaction where there was a substantive violation of guidelines.

8. Provide an organizational chart showing where compliance responsibility resides as well as the reporting flow, escalation, and resolution of compliance violations.

9. Where in your compliance systems are manual overrides allowed (for example traders or portfolio managers override system with respect to guidelines, etc.) and who has approval authority?

10. Describe how new client prohibitions or periodic updates are implemented.

11. Describe how quantitative and qualitative contract guidelines are implemented.

12. Describe your employee training program for employees who work in compliance oversight, as well as for all employees at the firm, detailing frequency and depth of training. How often are employees trained on firm-wide compliance? Do employees certify that they will follow the compliance manual? Are employees permitted to accept gifts from counter parties that the firm conducts business with? Please describe any gift policy your firm has in place.

13. Does your firm have a SSAE 16 or letter of audit report available? If so, please provide a copy.

14. Is employee trading for personal accounts allowed? If yes, explain when employees are allowed to trade for personal accounts. Please provide your personal trading policy. How is personal trading monitored?

15. Please provide any current news items on the firm and comments/responses, if any, to the news.

16. Is your firm currently under any federal, state or local audit? If so, please describe.

PROXY VOTING & CORPORATE GOVERNANCE

1. Please provide a copy of your firm's proxy voting policy. Describe staffing and procedures to vote proxies, and your flexibility in reporting votes to clients.


2. Discuss in general your approach to corporate governance. Would you consider your firm to be an “activist” shareholder?

3. Discuss the challenges of proxy voting and corporate governance in U.S. small cap core markets.

4. How does a company’s corporate structure and corporate governance activities impact your decision to purchase a stock?

PERFORMANCE

1. What do you consider to be the appropriate or preferred benchmark for your product? Please explain. What other benchmarks are your clients measuring your performance against? Is the strategy run any differently if a benchmark different from your preferred benchmark is used?

2. Provide an annual performance attribution analysis by region and sector that shows how your strategy added or detracted value relative to the Russell 2000 U.S. small cap Index, or a broad U.S. small cap index, for the calendar years 2010 – 2014 and the six months ended 6/30/2015. Include in this analysis a discussion of the attribution and causes for return deviations from the benchmark (both positive and negative) by year. How is performance attribution used internally in the management of the strategy? If available, please provide the attribution analysis based on an attribution to a sector basis first followed by exposure to major international regions. As a secondary analysis, provide an attribution to major international regions first followed by exposure to sectors.

3. Please provide annual returns (gross of fees) for the subject product and the Russell 2000 U.S. small cap (USD-net). If available, provide annual returns beginning with calendar years 2010 – 2014 six months ended 6/30/2015. Also provide 1, 3, 5, 7, and 10 year annualized returns. If the history of your product is less than 10 years provide whatever information is available.

4. Please provide monthly returns (gross of fees) from inception for: 1) your U.S. small cap core equity composite, and 2) a large portfolio in the composite that is most representative of your strategy and is managed for an institutional client. For the composite returns also show the total amount in the composite and the number of accounts represented. For the representative institutional portfolio please show the amount of the portfolio. Please provide this information in an Excel spreadsheet.

5. Provide the portfolio’s tracking error relative to the Russell 2000 U.S. small cap Index (USD-net) for the 3, 5, 7 and 10 year periods ended 6/30/2015.

6. With respect to performance presentation, does your firm claim compliance with CFA Institute or GIPS standards? If not, why? Are performance returns independently audited or verified? If so, how and by whom? Are there any periods for which your composite is not in compliance with CFA Institute or GIPS standards?


7. What is the level of excess return that is expected for this product over a full market cycle? What is the expected level of risk?

CLIENT SERVICE

1. Which office would service this account? Would different offices specifically provide other services?

2. Who would be the client service officer? 3. How often would the portfolio manager(s), chief investment officer and/or firm president be

available for client meetings?

4. Provide samples of client reports and indicate their frequency.

5. OP&F requires certain monthly reports for its due-diligence and compliance monitoring efforts. Please discuss your willingness to work with OP&F staff to meet our information needs.

6. What other communication is provided to clients (include a description and/or samples of newsletters, seminars, research, etc.)?

7. If applicable, please describe in detail all functions (reporting, client service, etc.) that are outsourced by your firm.


FEES

1. Please provide a fee proposal (note that your firm may be eliminated from further consideration if unwilling or unable to negotiate fees).

If you offer a commingled vehicle, please disaggregate investment management fees from fund operating expenses. Are fund operating expenses capped or variable? If variable, please provide the most recent yearly charge and estimate of future expenses.


EXHIBIT A

Ohio Police and Fire Pension FundVendor Disclosure and Restrictions to Board of Trustees

1. A vendor shall disclose any of the following to the Board of Trustees and the Internal Auditor:

B. Campaign contributions valued in excess of $100 made to any State officeholder, who appoints a member of OP&F’s Board of Trustees; or

C. Any charitable contribution valued in excess of $50 made at the request of any member of OP&F’s Board of Trustees.

2. All vendor disclosure of contributions and gifts shall be made as follows:

A. Upon submission of an initial application or proposal to do business with OP&F, a summary of contributions for the previous twelve months shall be submitted.

B. Within 30 days of an award of a contract by OP&F, the vendor must disclose contributions made from the award date to the date of initial application or proposal to do business that was submitted to OP&F.

C. Annually, for the previous calendar year, which is consistent with the reporting to the Ohio Ethics Commission under Ohio Revised Code Section 742.115, in accordance with the deadlines determined by OP&F.

3. Any violation of this policy may lead to the Board of Trustees declaring the vendor disqualified from doing business with the OP&F and terminating any existing business relationship.

4. Nothing in this policy supersedes any applicable provision of the Ohio Revised Code or the terms of any agreement between the vendor and OP&F.

5. These policy requirements will be included in all contracts on or after the effective date of this policy.


EXHIBIT B

Ohio Police and Fire Pension Fund

Reporting and Registration Requirements under Ohio Law

[This information may also be found on www.op-f.org]

The operation of the Ohio public pension plans is governed by specific statutes under Ohio law. These can be found in Chapters 101, 102, 145, 742, 3307, 3309 and 5505 of the Ohio Revised Code.

Persons/entities doing business, or seeking to do business, with any of the Ohio public pension plans or making campaign contributions to, or on behalf of, a Board member or candidate for a Board position are governed by, and may be required to register or file reports with, the Joint Legislative Ethics Committee, the Ohio Ethics Commission, and/or the Ohio Secretary of State. The Ohio public pension plans cannot provide guidance about these requirements. To determine if these provisions apply to you, please contact the following agencies:

Joint Legislative Ethics Committee50 West Broad Street, Suite 1308Columbus, Ohio 43215614-728-5100http://www.jlec-olig.state.oh.us

Ohio Ethics Commission8 East Long Street, 10th Floor Columbus, Ohio 43215614-466-7090http://www.ethics.ohio.gov

Ohio Secretary of State30 East Broad Street, 14th FloorColumbus, Ohio 43266614-466-4980http://www.state.oh.us/sos/

The Ohio state retirement systems advocate full compliance with all applicable laws, registration and reporting requirements. The duty to comply, and to register or report as applicable, is the sole responsibility of the individual or entity conducting the activities described above.

According to Section 101.97 of the Ohio Revised Code, a copy of which is the next page, third party marketing fees are prohibited with limited exceptions.

R. C. 101.97 Contingent compensation agreements prohibited; incentive compensation plan.

(A) Except as provided in division (B) of this section, no person shall engage any person to influence retirement system decisions or conduct retirement system lobbying activity for compensation that is contingent in any way on the outcome of a retirement system decision and no person shall accept any engagement to influence retirement system decisions or conduct retirement system lobbying activity for compensation that is contingent in any way on the outcome of a retirement system decision.

(B) Division (A) of this section does not prohibit and shall not be construed to prohibit any person from compensating the person’s sales employees pursuant to an incentive compensation plan, such as commission sales, if the incentive compensation plan is the same plan used to compensate similarly situated sales employees who are not retirement system lobbyists.

***End of Exhibit B-2*


Exhibit COhio’s Declaration of Material Assistance/Non-Assistance to a Terrorist Organization

See attached Homeland Security Form


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