Wilshire Announces Launch of Systematic Cross Premia Index℠, Powered by Wilshire℠

Index Designed to Provide Investors with a More Relevant Measure for Risk Premia

Wilshire today announced the launch of a new Powered by Wilshire℠ index, the Systematic Cross Premia Index. Created by Asset Management One USA Inc. (AMO USA) and 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.

For more information about the Systematic Cross Premia Index, please visit www.wilshire.com/indexes/poweredbywilshire/systematic-cross-premia-index.

About Wilshire

Wilshire Advisors LLC (Wilshire®) is a leading global financial services firm, dedicated to improving outcomes for investors worldwide. An independent firm since its founding in 1972, Wilshire advises on over $1.3 trillion in assets and manages $87 billion in assets. Specializing in innovative investment solutions, consulting services and multi-asset analytics, Wilshire serves more than 500 institutional and intermediary clients worldwide from 10 offices around the globe.

Please visit www.wilshire.com for more information.

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About Asset Management One USA Inc.

Asset Management One USA Inc. (AMO USA) is a U.S. based subsidiary of Asset Management One Co., Ltd., one of the largest asset management groups in Asia, servicing a broad range of institutional and retail clients. AMO USA manages approximately $7.5 billion on a discretionary basis, of which more than $970 million is in systematic strategies, including risk premia. AMO USA also provides various non-discretionary advisory, consulting and monitoring services on approximately $31.8 billion in assets for institutional clients (as of 3/31/2021)*.

AMO USA employs 52 professionals located in New York, NY (as of 7/1/2021).

*Source: Asset Management One USA Inc. All asset figures are as of 3/31/2021 and are not Regulatory Assets Under Management.

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