1. Strategic Absolute Return Consulting Assist the CIO and Investment Division Staff in the identification and due diligence of investments and managers with absolute return strategies implemented through structures including hedge funds, drawdown funds, funds of funds, funds of one, managed accounts, managed account platforms, bank index products, swaps and more. Strategies may include but are not limited to quantitative investment strategies (QIS), relative value, global macro, managed futures, event driven, insurance, royalties, specialty finance, GP solutions, individual co-investments and sports equity. a. Assist the CIO and Investment Division Staff to achieve its current objectives of outperforming T-Bills + 4-5% and a custom benchmark consisting of 50% HFRI Relative Value (Asset Weighted), 25% HFRI Macro (Asset Weighted), and 25% HFRI Event Driven (Asset Weighted) indices, or other future benchmarks. b. At the request of Investment Division Staff, assist in the development of goals, strategy, and objectives for the Program. At the request of the Chief Investment Officer, prepare an annual plan in coordination with Staff that includes but is not limited to targeting funds and strategies for investment and pacing of subscriptions and redemptions. c. Conduct and prepare comprehensive written research, analysis, and advice on specific investment issues and strategies, conduct special projects or other activities, as requested, and propose investment strategies based on research conducted. d. Appear as requested at Investment Committee and/or Board of Trustees meetings or other meetings to (a) present research, analyses, written reports, and recommendations or (b) respond to questions relating to the Program or industry. e. Attend meetings with Investment Division Staff in order to provide advice and counsel on matters relating to the Program as requested. f. At the request of and as required by Investment Division Staff, coordinate and communicate with the System, other System consultants, and managers to ensure the effective and successful administration of the Program. g. Provide other consulting services consistent with or required in connection with the Program and its goals, strategy and objectives. 2. Due Diligence It is expected that investment sourcing and due diligence will be conducted concurrently by both the Consultant and Investment Division Staff. As part of the regular investment process, the Consultant and Staff will endeavor to identify and evaluate “emerging managers” defined generally as managers with less than $2B in assets under management. a. Investment Screening: develop a structured process to analyze the full universe of available investments, including emerging and minority-owned managers, and efficiently identify those most appropriate for investment. This will include detailed analysis of prospective investments identified by Investment Division Staff upon Staff’s request. b. Direct and Co-investment strategies: The Consultant shall develop a process to assist Investment Division Staff with evaluating and monitoring direct and coinvestments with a focus on improving portfolio gross performance and reducing the fee drag on the net performance. c. Due Diligence: at the request of Investment Division Staff, conduct due diligence on current investments and on those prospective investments that the Investment Division Staff has selected for consideration. Prospective investments may be sourced by the Consultant or Investment Division Staff. This includes: i. Operational Due Diligence: at the request of Investment Division Staff, the Consultant shall conduct Operational Due Diligence on all managers currently in the Program, and on prospective investments selected either by Investment Division Staff or the Consultant. ii. Identification of New Opportunities: at the request of Investment Division Staff, identify new strategies or managers, including opportunities in Maryland for the System in coordination with Investment Division Staff. iii. Recommendations: at the request of Investment Division Staff, present written recommendations to the Investment Division Staff. The recommendations will include the full results of the due diligence process, strategic considerations, and fit with either the Total Plan or the Program. The recommendations must include an ESG and DEI evaluation of the proposed investment. iv. Negotiation and Structuring: at the request of Investment Division Staff, work with Investment Division Staff and legal counsel in the negotiation of contract terms and conditions. Provide advice on market terms and structuring. 3. Monitoring of the Program a. General Portfolio Monitoring: the Consultant will take responsibility for the timely reporting of key events to the Investment Division Staff that may affect the System or the Program. Such events may include market changes, changes in key personnel at the manager, industry related issues, or substantial reductions in portfolio value. This will be conducted through the monitoring of the media, personal contacts, the systematic review of managers’ reports, and the Consultant’s internal monitoring systems. b. Involvement with Managers: the Consultant will assist the Investment Division Staff, where necessary, in actions to protect the interests of the System as an investor, and to ensure compliance by managers with the terms of their contracts. c. Review of Proposed Amendments: Review and recommend courses of action on all document amendments as requested. d. The Consultant shall review and make recommendations on any issues related to the Program that would require action by the Agency. e. Fees and Carry: The Consultant shall review management fee, carry, and expense reporting.
