Portfolio Risk Analysis and Performance Attribution System for the Office of Investment Manageme ...

1. Objective Office of Investment Management (OIM) of the United Nations Joint Staff Pension Fund (UNJSPF) seeks experienced Risk Analysis and Performance Attribution System providers to support OIM is requesting proposals for a Portfolio Risk Analysis and Performance Attribution System (the "PRA System"), which would effectively support OIM in monitoring, assessing, and evaluating the risk and performance of the Fund's global portfolio(s) and assist with the reporting of such information. The system should be able to dynamically adjust and update reports, allocation limits, stress testing, sensitivity analyses, factor analyses, tracking risk limits, and risk budget so they are in line with the Fund's overall risk tolerance and target return. The analytics, research, data feeds and integrity, onsite service and educational spillover, training, technical and nontechnical support will help OIM's Risk team to efficiently translate OIM's risk management policies and practices into portfolio management implications. The provider cannot be a custodian, consulting firm or an affiliate of either that has worked with OIM in providing advice related to operating strategy, operating models, and vendor selection. 2. UNJSPF The United Nations Joint Staff Pension Fund ("UNJSPF" or "the Fund") was established by the General Assembly of the United Nations ("UN") to provide retirement, death, disability, and related benefits for the staff of the UN and other international intergovernmental organizations admitted to membership in the Fund. The UNJSPF is an internally managed fund, with over US$87. l billion under management as of August 2021. Please consult the Fund's website at http://oim.unjs pf.org/ for a breakdown ofthe Fund's assets per type of investment. The Secretary-General has delegated his fiduciary and trustee responsibilities to a senior UN official referred to as the Representative of the Secretary-General for the Investments of the UNJSPF. The Representative of the Secretary-General has delegated much of the operating responsibility for the management of the investments and the administration of the assets of the Fund to the staff of the Investment Management Service ("OIM"). OIM makes investment decisions for the Fund, except for those decisions that require the agreement of the Representative of the Secretary-General. All investments made must meet the criteria of safety, profitability, liquidity, and convertibility endorsed by the General Assembly and the UNJSPB. 3. Minimum Requirements Firms seeking to participate in the forthcoming solicitation must have (a) Minimum Experience: 10 years in providing multi-asset multi-currency risk advisory managed services to institutional global clients including (1.) pension funds of governments (Sovereign or State), (2.) pension funds of multilateral organizations or multilateral corporations, or (3.) other large pension funds or global endowments. Minimum of five defined benefits pension plan clients. Minimum of five clients with at least US$ 50 billion under management. (b) Consultant must have a blemish free background - free of suspension, censure, or any other disciplinary action by any professional, state, or national / statutory or regulatory entity. If no - please provide details. (c) Technical Aspect: All UN portfolios, benchmarks should be modeled at the individual security level (users can drill down from the total fund, portfolio levels to the individual security level). Tools should have ability to aggregate security's specific risks, and return drivers into portfolio risk and return profiles, summing up to the total fund level. Services include technology, analytics required to measure risk and performance statistics, produce reports, and deliver the risk and performance reports and user training. System should include ETF look-through function. 4. Essential functionalities: (a) Rate of Return calculation and Assessment: Comprehensive reporting at total portfolio, sub-portfolio, industry, sector, position levels, (base and local) including: Asset class exposure;geographic region exposure; currency exposure; market capitalization exposure; economic revenue exposure; risk/return profile calculation; and provision of covariance analysis. Calculations must be in accordance with GIPS (Global Investment Performance Standards). (b) Performance Attribution: Analyze active investment decisions at the fund level, assess the manager abilities and determine how excess returns were generated using appropriate performance modules for respective asset classes i.e.: equity decomposition by GICS sector, and fixed income decomposition by term­ structure (duration), rate spreads, etc. based on appropriate fixed income models. Ability to have performance models for real assets and alternatives asset classes like real estate and private equity. In addition, Factor Performance Attribution is required. (c) Reports: for the total fund and individual portfolios quantifying sources of returns and impact on individual investment decisions relative to a specific benchmark. Calculations of attribution versus strategic and tactical policy benchmarks with the following aggregation: • Equity asset class by country, sector, and industry, (Time Weighted Returns methodology (TWR)). • Fixed Income asset class by currency and country, (TWR methodology) • Private Equity and Real Asset class by country. (Internal Rate of Return (IRR) and TWR methodology). • Currency: Base (USD) and local. • Columns or Fields required: Portfolio weight; Benchmark weight; Active weight (average and ending); Portfolio Return; Benchmark Return; Portfolio Contribution to Return; and Benchmark Contribution to Return. Attribution effects specified by: Allocation; Security selection; Currency; Treasury; and Spread. Frequency: Daily, Monthly, Annually, rolling periods and user­ defined custom period. • Derivatives (listed and OTC), including cross-currency hedging, bond futures, and MBS TBAs. • Securities lending. • Hedge Funds and other alternative investments. (d) Risk Assessment: Analyze the amount of risk contributed by each investment decision and quantify various risks driving the excess returns. (e) Relative Risk Decomposition: Parametric, and non-parametric approaches for Tracking Error, Value-at-Risk (VaR), Expected Shortfall computations on an ex­ ante basis using Monte Carlo techniques, in addition to historical risk analysis. (f) Absolute Risk Assessment: Parametric, and non-parametric approaches for standard deviations, Value-at-Risk (VaR), Expected Shortfall computations on an ex-ante basis using Monte Carlo techniques, in addition to historical. (g) Risk Contribution. (h) Risk Factor Sensitivity (i) Value-at-Risk for evaluating the maximum loss a portfolio can incur over a specific time horizon, based on probability in absolute and relative terms. (j) Active Risk. (Ex-ante Tracking Error or Relative Risk) reports to monitor the amount by which actual assets in which the plan has invested, across all portfolios could underperform its strategic and tactical asset allocation at a specific confidence level. (k) Surplus-at-Risk. Reports to analyze the amount by which the fund's policy allocation might underperform the liabilities. (1) Tactical Asset Allocation Risk. (m) Absolute/Relative Historical. Reports that include absolute and relative historical risk-adjusted performance measures, historical absolute and relative risk. (n) Correlation Analysis. (o) Stress Testing. Reports to evaluate tail events, severe market moves or extreme standard deviation scenarios. (p) Drawdown risk. Reports the measure of how long it takes for each asset class (and total Fund) to recoup its losses after if falls from a previous high. (q) Exposure. Reports by asset class, geographic region, country, currency, sector, industry, duration, market capitalization, growth/value tilts. (r) Scenario Analysis. Reports for rebalancing and selection; to determine if different components of the portfolio behave in correspondence with the Fund's risk tolerance level and if the returns are commensurate with the risks taken. (s) Coverage of Specific and General Risk Factors: Specific risk factors for equity securities are log returns of stock prices, as for bonds, free and risky interest rates are typically used as risk factors in the Net Present Value pricing function of generic debt securities. (t) Risk Budgeting: Risk Budget methodology and calculation ofrisk budget for total portfolio, asset classes, sectors, countries, and regions. (u) Risk Budget Compliance and Investment Implications: Setting up risk budgets for Strategic Asset Allocation (SAA) limits is compliant with tracking error thresholds or risk budgeting defined under large changes (+/- 5% - 10%) in allocation. Monitor risk budgets on a regular basis and perform root cause analyses if risk budgets have crossed their limits, is consistent with tracking error sensitivities or risk budgeting for allocation decision with risk considerations i.e.: risk budgeting in dynamic sense designed for recent market uncertainties and co­ movements of securities/assets, leading to the following requirements: • Covariance (Sensitivity) Analyses: able to generate correlation, covariance, marginal/incremental risks, and beta reports that can be defined as per user specifications, with both short and long-term estimation horizons; capable of handling systematic, automated process, batch reporting process to be used as input data for risk models, and customized reporting for templates maintained byOIM. • Simulated Returns, Optimization, and Pricing Models: able to provide results of Monte Carlo simulation derived from statistical distributions used to compute risk statistics; Optimization module for portfolio construction, with constraints capable of handling restricted securities as defined by OIM; Documented pricing models that are supported with research and academic literature. Respondents to this EOI must fulfill the above required qualifications and functionalities.