Our goal: To identify managers that have the ability to consistently generate an excess return - or alpha.
At Wilshire, we begin with a proprietary database that includes a wealth of investment strategies and asset classes. Then we perform both quantitative and qualitative evaluations to create scores. The managers with the top final scores are then selected for our multi-manager portfolios.
Best of Class Manager Selection
Wilshire has unsurpassed manager research and selection capabilities. Experienced analysts, conducting more than 1,800 meetings each year, evaluate managers and management firms on quantitative and qualitative factors. Our disciplined and innovative manager research process has allowed us to successfully identify best-of-class managers.
Manager Selection Process
Our Quantitative Model
comprises 25% of our total score. It uses statistical techniques to forecast manager alpha by examining past returns and certain portfolio characteristics. These techniques benefit from the vast database of actual manager portfolios that Wilshire has collected throughout its history. We use this database as a laboratory to test our models and quantitative hypotheses.
Our Qualitative Model makes up 75% of our total score, using these six components and their relative weighting to the overall evaluation:
Organization (20%) - Evaluates the strength of the manager's organization.
Information Gathering (20%) - Gauges a manager's edge in gathering and processing information
Forecasting (20%) - Determines the accuracy of a manager's forecasts.
Portfolio Construction (20%) - Rates how a manager's portfolio reflects its investment objectives.
Implementation (10%) - Measures a manager's trading and back office efficiency.
Attribution (10%) - Assesses a manager's ability to understand its exposures.
