LD Pensions’ Tender for an Agreement Concerning Global AC Active Quantitative Equities

Kort beskrivelse

The object of the tender is to select an Investment manager to manage LD Pensions’ assets within quantitatively managed global all country equities. The quantitative process must be an active, systematic stock selection process based on multiple proprietary Signals that forecast equity returns. The intention is to generate alpha, adjusted for academically tested factors such as value, size, momentum, low-volatility and quality. The mandate is long-only.
The size of the mandate covered by this contract notice is indicative due to LD Pensions’ inability to determine the volume in advance. The value of the contract is therefore LD Pensions’ best estimate.

Beskrivelse af udbuddet

This mandate is long-only, and has the objective to generate robust alpha, adjusted for academically tested factors such as value, size, momentum, low-volatility and quality, by investing actively in listed global equities (developed and emerging markets), via a systematic, quantitative stock selection process, based on multiple proprietary Signals that forecast equity returns. The product must be provided as a segregated mandate, and must be tailored to the needs of LD Pensions by incorporating LD Pensions’ exclusion list, tracking error and other restrictions.
The mandate must be managed either as a global all country product, or as a combination of a Global developed markets product and a global emerging markets product, using the same quantitative model and investment process, with a close to neutral weighting of the 2 products vs. the MSCI All Country benchmark (rebalanced regularly). LD Pensions does not have a preference for either set-up.
The size of the mandate covered by this contract notice is indicative due to LD Pensions’ inability to determine the volume in advance. It is important that the product has a minimum of 500 000 000 EUR available capacity at the time of signing the agreement.

Objektive kriterier for udvælgelse af det begrænsede antal ansøgere

Each applicant is required to submit 2 relevant and comparable References. LD Pensions recommends the applicants to use Appendix 5A and 5b to ensure that the applicant provides the needed information and complies with the formal requirements regarding maximum number of words.
Both references must concern the same quantitative model and investment process. Each applicant must choose to submit their references either using an ACWI-Application (both references concern global all country strategies, and are included in the applicant’s active quantitative ACWI composite) or using an EM/DM-Application (one reference concerns a global developed markets strategy, and one reference concerns a global emerging markets strategy, managed by the same quantitative model and investment process, both strategies are included in the applicants’ relevant active quantitative emerging market and active quantitative developed market composites respectively).
LD Pensions does not have a preference for either the ACWI-Application, or the EM/DM-Application
A maximum total of 100 points can be awarded for the 2 references.
The structure of the references are as follows:
Part 1
1) Client resemblance to LD Pensions;
2) Project characteristics resemblance to LD Pensions;
3) Firm capabilities and experience.
A detailed description in essay form (max 500 words), of the services delivered to the reference client, which reflects the applicant’s capabilities and experience managing a mandate as described in LD Pensions’ Investment Guidelines for the mandate tendered.
Part 2
Results/outcome will be evaluated for both references combined. Results/outcome are defined as the monthly 5-year returns of a global all country composite track record (as of 31.12.2019) for a composite that includes both reference clients’ returns. For Applicants using the ACWI-Application the composite used in evaluation of results/outcome will be the composite submitted. For applicants using the EM/DM-Application, LD Pensions will create an ACWI-like composite, based on an ACWI-benchmark-neutral weighting between the submitted EM and DM composites (with monthly rebalancing). A score will be given for long term positive robust alpha generation, adjusted for style betas. This score will be adjusted if the composite characteristics are not of sufficient quality or representative.
A more detailed description of the above, as well as LD Pensions’ preferences for selection when selecting pre-qualification can be found in Section VI (3).
A complete description of pre-qualification, tender, and scoring can be found in the Tender Specifications (Appendix 1).

Liste og kortfattet beskrivelse af udvælgelseskriterier

Each applicant is required to submit 2 relevant and comparable references. Both references must concern the same quantitative model and investment process. A reference is a description of a current or recent project or mandate which the applicant has delivered to a client and demonstrates the applicant’s ability to fulfill the requirements of the tender. Below please find a description of the required content of the references.
Each applicant must choose to submit both references either by an ACWI-Application (both references are managed concern global all country strategies, and are included in the same composite) or by an EM/DM-Application (one reference concerns a global developed market strategy, and one reference concerns a global emerging markets strategy, managed by the same quantitative model and Investment process, both strategies are included in the applicants’ relevant composites). LD Pensions does not have a preference for either set-up.

Below please find a description of LD Pensions’ criteria and preferences for pre-qualification selection.
Part 1
1) Client resemblance: references regarding clients, resembling LD Pensions (institutional investor, same size or larger), are preferred;
2) Project characteristics resemblance: references concerning long duration relationships with the applicant, regarding the reference project, are preferred. Reference projects, that have not been terminated or expired, are preferred. References regarding clients with similar or larger volume as the LD Pensions’ ACWI mandate are preferred. For EM/DM-Applications the benchmark for comparing volume is approximately 10 % and 90 % of the ACWI volume for the EM and DM Reference volumes respectively;
(3) Firm capabilities and experience. A detailed description in essay form (max 500 words), of the services delivered to the reference client, which reflects the applicant’s capabilities and experience managing a mandate as described in LD Pensions’ Investment Guidelines for the mandate tendered. The description should include a description of the strategy, objectives and guidelines (incl. client directed policies, such as an ESG exclusion list, if any). LD Pension prefers: well researched proprietary signals and processes over standard screening tools; signals and processes which have existed and worked for a long time; gradual changes to the above; multiple signals; long experience with active quantitative investment strategies; well-resourced teams dedicated to active quantitative equity strategies; ESG Integration; experience handling client directed investment policy; method of implementation of an exclusion list by excluding the relevant stocks from the investment universe.
(Total score for Part 1 is max 30).
Part 2
Results/outcome will be evaluated for both references combined, and the maximum total score is 70.
Results/outcome are defined as the monthly 5-year returns of a global all country composite track record (as of 31.12.2019) for a composite that includes both reference clients’ returns. For applicants using the ACWI-Application the composite used in evaluation of results/outcome will be the composite submitted. For applicants using the EM/DM-Application, LD Pensions will create an ACWI-like composite, based on an ACWI-benchmark-neutral weighting between the submitted EM and DM composites (with monthly rebalancing).
The applicant’s submitted composite(s) will be evaluated with respect to quality (GIPS® status of applicant and composite examination), and representativeness of reference clients’ returns (inclusion and tracking error).
References where the composite shows long term positive robust alpha generation, adjusted for style betas vs. the relevant benchmark are preferred. Style beta adjustments will be performed by LD Pensions’ external advisor, along the lines of Fama French’s factor framework, although the number of factors and factor definitions may differ from Fama French. Data will be sent to the advisor anonymized.
The most significantly highest positive and robust alpha will be assigned the highest score of 70. The most significantly negative and most robustly low alpha will be assigned a score of 0. This score will be adjusted if the composite characteristics are not of sufficient quality ore representative (as previously described).
Part 3
A reference where the client is anonymous and/or related/affiliated to the applicant (family relationships, as well as direct and indirect corporate relationships), will be given half the total score it would otherwise have been given for Part 1, and 75 % of the combined total score it would have been given for Part 2.
If both references are anonymous and/or related/affiliated, both references will be given half the total score they would otherwise have been given for Part 1 and Part 2.

Præcise oplysninger om fristerne for gennemgangsprocedurer

In accordance with Act No 953 2.6.2016 (Lov om klagenævnet for Udbud m.v.), the deadlines for submitting a complaint are the following:
Complaints about a candidate not being selected must be filed within 20 calendar days starting the day after the contracting authority sent notification to the candidates involved, cf. section 171 of the Danish Public Procurement Act, provided that the notification includes a short account of the relevant reasons of the decision.
Complaints about the award procedure must be lodged with the Danish Complaints Board for Public Procurement before the expiry of:
1) 45 calendar days after the contracting authority has published a notice in the official Journal of the European Union (with effect form the day following the publication date);
2) 30 calendar days from the day following the day on which the contracting authority has informed the tenderers that the contracting authority have entered into a contract based on a framework agreement with reopening of competition or a dynamic purchasing system if the notification includes a sort account of the relevant reasons for the decision;
3) 6 months after the contracting authority has signed a framework agreement from the day following the day that the contracting authority has notified the tenderers, cf. section 2, 2) of the Act or section 171, 4) of the Danish Public Procurement Act;
4) 20 calendar days form the day after the day the contracting authority has announced its decision see section 185, 2) of the Danish Public Procurement Act.
The complainant must inform the contracting authority of the complaint in writing and not later than simultaneously with the lodging of the complaint to the Danish Board of Public Procurement. The complaint must state whether the complaint was lodged in the stand still period. If the complaint has not been lodged in the stand still period, the complaint must also state whether the complaint is requested to be given suspensive effect.