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Wilshire Launches Systematic Cross Premia Index

Investment consulting firm Wilshire has launched a new index, the Systematic Cross Premia Index.

The index was created by Asset Management One USA Inc. and is calculated by Wilshire; the index aims to measure the performance of liquid risk premia, across a broad cross-section of factors diversified over asset class and style, and valued on a daily basis. Asset classes include fixed income, credit, foreign exchange, equity indices, commodities, and a multi-asset group; styles include carry, value, momentum and defensive. 

AMO USA worked closely with investment banks offering risk premia strategies to identify for the index a universe of strategies that offer ample capacity, daily liquidity, and adherence to defined risk and diversification parameters. The strategies capture a well-established investment style backed by empirical analysis, as well as various themes from the investment bank providers over time.

“In creating this index, we leveraged our long history of developing and analyzing risk premia strategies to construct a diverse representation of the investable risk premia universe. The index is designed to mimic an implementable portfolio with built-in risk controls, while pursuing diversification across asset classes and investment styles. As such, the index covers a wider variety of strategies beyond traditional carry, value and momentum strategies, reflecting the industry's evolution,” said Kazuhiro Shimbo, Chief Investment Officer, Quantitative Strategies at AMO USA.

“Wilshire and AMO USA have partnered in the risk premia space since 2015, using bank risk premia strategies to create and complete portfolios for clients.  As investors in the space, we recognize the importance of a relevant performance benchmark and we are pleased to extend the partnership with this index, which combines Wilshire’s calculation expertise and AMO USA’s quantitative approach to factor investing,” added Jason Schwarz, president and chief operating officer of Wilshire.


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