Environment Agency Pension Funds, Bristol, England, is searching for up to three managers to run a total of up to £165 million ($256 million) in low-volatility global equities, confirmed Howard Pearce, head of environmental finance and pension fund management at the £1.7 billion fund.
The assets are parked with passive manager Legal & General Investment Management, Mr. Pearce said in an e-mail.
Successful low-vol managers are expected to outperform a standard global equity benchmark, such as the MSCI World or FTSE All World, with volatility of no more than 80% of the benchmark. Volatility reduction is expected to be achieved primarily through portfolio construction and stock selection, rather than via the use of derivatives, trading strategies or stock shorting, according to the RFP.
The mandate may be run actively, quantitatively or passively, if tracking a non-market-cap-weighted benchmark. Quality and managed volatility strategies will be considered, but hedge fund strategies won't likely be considered, Mr. Pearce said.
The fund hopes to hear from “managers who understand and are willing to consider integrating financially material environmental, social and governance (ESG) considerations into investment, and … consider the financial impacts arising from ESG risks,” according to the RFP.
Mercer and bfinance are assisting.
Proposals are due July 27, with a selection no earlier than December, according to Mr. Pearce. The RFP is available on a europa.eu.