United Nations Secretariat Tender

The Office Of Investment Management Of The United Nations Joint Staff Pension Fund (“unjspf”) Is Looking Into The Possibility Of Engaging Professional Services To Conduct An Asset Allocation Analysis And Benchmark Study In Order To Assist The Representative Of The Secretary-general On The Management Of Investments (hereafter Referred To As “asset Management Study” Or “study”). Although The Fund Completes A Full Alm Study Every 4 Years, This Asset Management Study Will Be Conducted At The Same Time Of The Benchmark Study Given The Current Unprecedent Changes In Market Conditions Due To The Global Covid- 19 Crisis. New Capital Market Assumptions Should Be Provided By The Provider Along With Full Disclosure Of The Sources Of The Assumptions. For Clarification Purposes, This Study Is Only Focused On The Asset Side And Is Not A Fully-fledged Alm Study. Scope Of Services 1. The Goal Of The Asset Management Study Is To Review The Eligible Asset Classes And Sub-asset Classes In Light Of The Current Fund Strategy Providing The Investment Rationale, Objective, And Risk Characteristics Of Each Eligible Asset Class Including The Rationale For Unhedged Currency Risk. Then, Based On The Eligible Asset And Sub-asset Classes, Review Current Strategic Asset Allocation And If Needed, Propose A Strategic Asset Allocation With Documented Rationale. The Goal Of The Benchmark Study Is To Conduct A Benchmark Analysis And Review Whether The Benchmarks Currently In Place Are Appropriate Benchmarks For Each Asset Class Given The Fund’s Risk Appetite And The Short And Long Term Goals Of The Fund, Presenting Alternative Benchmarks In Case Current Benchmarks Are Not Suitable Ones. The Asset Management Study Should Also Verify The Impact Of Key Investment Decisions And Current Market Situation Upon The Long-term Financial Condition And Performance Of The Unjspf And To Recommend Long-term Asset Allocation Strategies That Would Optimize Unjspf Asset Growth In The Context Of The Fund’s Risk Tolerance/objectives. Therefore, It Should Verify The Adequacy Of The Asset Classes Identified In The Last 2019 Alm Study For The Unjspf And Specify A Long-term Target Weight For Each Asset Class And Sub-asset Class. Also, As Part Of The Study The Consultant Should Assist The Working Group To Review Alm Policy And A Benchmark Policy That Will Be Put In Place Starting In 2021, Comparing It With Market’s Best Practices. In Addition To What Was Mentioned Above, Specific Items To Be Covered Are: A) Provide Updated Capital Market Assumptions That Will Be Used In The Studies, Including Detailed Documentation On Sources And Methodology B) Provide A Methodology For Each Study And Their Deliverables C) Review The Current Investment Universe And Assist The Fund To Define The Investment Rationale, Objectives And Risk Characteristics Of The Current Eligible Asset Classes And Sub-asset Classes Including The Rationale For Unhedged Currency Risk Suitable For Internal As Well As External Stakeholders. D) Recommend And Define Appropriate Benchmarks For Each Eligible Asset Class And Sub-asset Classes Subject To The Reviewed Benchmark Policy. E) Recommend A Policy Benchmark By Weighting The Sub-benchmarks From Each Asset Class With The Saa, Subject To The Reviewed Benchmark Policy, As Well As Peer Comparisons. F) Assist The Working Group Review The Draft Alm And Benchmark Policy And Rebalancing Procedures Adequate To Unjspf. G) Review The Current “glidepath” Approach H) Detail The Portfolio Constraints And Rationale For The Constraints On Each Asset Class, Including Consideration Of Oim Resources. An Explanation On The Impact Of The Chosen Minimum And Maximum Constraints On An Updated Saa Should Be Detailed Including Performing A Sensitivity Analysis Of The Constraints. I) Qualify Baseline Assumptions With Investment Beliefs And Provide And Define Alternative Assumptions For Sensitivity Analysis. J) Determine The Saa By Optimizing The Portfolio Subject To The Portfolio Constraints, The Capital Market Assumptions, And Risk Tolerance And Check The Robustness Of The Allocation Towards Historical And Constructed Stress Tests, For Example 2008 Financial Crisis, Covid Pandemic, And Other Stress Scenarios. K) Categorization Of Assets Into Liquidity Profile To Be Able To Define Acceptable Ranges Of Illiquidity. L) Using Stochastic Simulations For At Least 30 Years And Providing Results Including Mean And Multiple Confidence Intervals, The Study Will Provide The Following: 1. Given The Current Asset Classes Identified In The 2019 Alm Study Specify A Long-term Target Weight For Each Sub Asset Class That Optimizes Unjspf Asset Growth While Recognizing The Fund’s Risk Tolerance/objectives. 2. Evaluate Current Exposures And Assess Whether Unjspf Would Need Hedging Strategies, If Deemed Appropriate For The Fund. 3. Evaluation Should Take Into Account The Current Asset Classes, Sub-asset Classes And Benchmarks Invested By The Unjspf. 4. Should Multiple Saas Be Developed As Viable Alternatives Within The Fund’s Risk Parameters Or Modified But Similar Recommended Risk Parameters, Present The Same Results As Above In A Comparative Manner. 5. Provide A Sensitivity Analysis To The Alternative Sets Of Capital Market Assumptions. M) Simulations Should Consider Estimated Risk-return Profile Of The Asset Classes And Not Only Estimated Returns. N) Day To Day Monitoring And Supervision Of The Study Will Be Done Through An Internal Oim Working Group. Deliverables (once An Rfp Is Published) 2. It Is Expected That The Provider Will Have A Specific Approach For Completion Of This Study, Including Interim And Final Outputs And Reports. However, It Is Minimally Expected That The Techniques And Assumptions Used To: A) Assess Market Risk And Returns, B) Complete The Studies And C) Develop Recommendations, Will Be Fully Vetted With Oim Before Completing The Study, As Well As Fully Documented In The Final Report. 3. A Single Final Report Is Required, With Interim Reports Provided Throughout The Studies On The Items Listed In The Scope Of Services. The Final Report Should Be Comprehensive In Nature And Include Interim Results/reports. The Frequency And Timing Of The Interim Reports Will Be Developed At The Time The Study Begins. 4. A Written Executive Summary Of Results Is Also Needed, And It Is Expected That A Powerpoint Of The Study Results Will Be Developed And Presented To The Pension Board At Its July 2021 Session In New York. 5. Results And Analysis Must Be Clearly Presented, Including Graphs And Tables, Wherever Possible. 6. Draft Rebalancing Procedures For Benchmarks With The Oim (task Force) Working Group Which Will Be Presented To The Iic And Ic For Discussion, Review And Validation. 7. It Is Anticipated That The Following Meetings Will Be Held: Kick-off Meeting With Internal Working Group (end January 2021/early February 2021), Weekly Calls/videoconference Meetings To Discuss Assumptions And Review Interim Results (february And March 2021), Results Presentation To Internal Working Group (march 31, 2021), One Meeting With The Alm Committee (april 2021), Other Meetings Possibly With Investment Committee (april 2021), And Training For Pension Board (immediately Before 2021 July Board Session), And Results Presentation To The Board. All Meetings Will Be Held Through Videoconference.