Wilshire Credit Alternatives Portfolio

The Wilshire Credit Alternatives Portfolio (the “Portfolio”) is an actively managed, multi-strategy alternative investment portfolio of mutual funds with a low volatility an absolute return mandate. The Portfolio offers risk-managed exposure to liquid alternative mutual funds:

  • Each strategy under consideration is comprehensively evaluated by Wilshire’s team of hedge fund manager research analysts utilizing a proprietary six-factor qualitative research process.
  • Qualitative and quantitative inputs are employed in the manager selection and portfolio construction processes, seeking to maximize risk-adjusted return while maintaining low correlation to traditional portfolio risk factors.
  • Wilshire’s approach to portfolio construction is grounded in a risk-optimized framework designed to maximize the benefits of diversification across a broad opportunity set of liquid alternative mutual funds.

Wilshire Associates Incorporated (“Wilshire”) has extensive experience advising its clients on the use of alternatives in an effort to enhance holistic portfolio solutions:

  • Wilshire has been advising its institutional clients on alternatives and recommending hedge fund solutions since 2000
  • Today, the robust univese of high caliber liquid altrnative mutual funds enables Wilshire to design solutions using these strategies.
Portfolio Objectives
  • Return: 90 day T-Bill plus 2% to 4% annually
  • Risk: 2% to 4% annualized standard deviation
  • Beta: Below 0.2 versus traditional equity asset classes

There is no guarantee that any of the portfolio objectives will be met.

Portfolio Highlights
  1. Diversification: Seeks to provide a source of return lowly correlated to traditional portfolio risk factors.
  2. Return: Seeks to maximize absolute return by allocating to less correlated managers and strategies.
  3. Risk Management: Maintain manager and strategy diversification through rigorous monitoring of manager and portfolio risk attributes.
 
 

 

   
Ticker
Target
Allocations (%)
Relative Value JPMorgan Strategic Income Opps Select JSOSX 11.0
  Metropolitan West Unconstrained Bond Fund MWCIX 11.0
  John Hancock Strategic Income Opps Fund JIPIX 11.0
  Guggenheim Macro Opps Instl GIOIX 12.0
Global Macro Virtus Aviva Multi-Strategy Target Return I VMSIX 10.0
  AQR Managed Futures Strategy AQMIX 10.0
  Natixis ASG Managed Futures Strategy ASFYX 10.0
Event Driven BlackRock Global Long/Short Credit Fund Instl BGCIX 8.0
  Kellner Merger Fund Instl GAKIX 15.0
Cash Cash n/a 2.0
 

 

Portfolio Strategies

  • Relative Value strategies invest long and short in fixed income securities and derivatives seeking to add value through hedging or security selection.
  • Global Macro strategies invest long and short across global equity, fixed income, commodity and currency markets.
  • Event Driven Credit strategies maintain positions in companies currently or prospectively involved in corporate transactions of a wide variety, expecting the idiosyncratic risk of these events to drive returns.

 

Important Information
This material is for information purposes only. Wilshire Associates Incorporated uses mathematical and statistical investment processes to allocate assets, select managers and construct portfolios and funds in ways that seek to outperform their specific benchmarks. Wilshire is not affiliated with your advisor or your advisor’s broker/dealer. Past performance is not indicative of future results, and processes used may not achieve the desired results. All investments involve risk including the potential loss of principal.

Investments in equities are subject to market risk so that shares, when redeemed, may be worth more or less than their original cost. Security prices can fluctuate significantly in the short term or over extended periods of time. These price fluctuations may result from factors affecting individual companies, industries, or the securities market as a whole. Investments in small cap stocks may be subject to a higher degree of market risk than large cap stocks, or more established companies’ securities. Furthermore, the illiquidity of the small cap market may adversely affect the value of an investment. Investments in bonds are subject to interest rate, inflation, credit, currency and sovereign risks. Investments in high yield bonds are subject to greater credit risk and price fluctuations than higher quality issues. Investments in international securities involve additional risks including currency rate fluctuations, political and economic instability, differences in financial reporting standards, and less stringent regulation of securities markets.

An alternative investments strategy is subject to a number of risks and is not suitable for all investors. Investing in alternative investments is only intended for experienced and sophisticated investors who are willing to bear the high economic risk associated with such an investment. Investments in commodities and commodity index-linked securities may be affected by overall market movements and other factors that affect the value of a particular industry or commodity, such as weather, disease, embargoes, or political and regulatory developments.

Model portfolios are exposed to the specific risks of the underlying funds in direct proportion to their percentage allocation. The funds comprising the models and the allocations to those funds have changed over time and may change in the future.

Diversification and asset allocation do not guarantee a profit, nor do they protect against loss, including the loss of principal.

Definitions:
Standard Deviation: A statistical measurement that sheds light on historical volatility. A higher number indicates a higher degree of volatility, by indicating the return on the investment is deviating from the expected normal returns.
Beta: A measure of volatility or systematic risk, of a security or a portfolio in comparison to the market as a whole. A beta of 1 indicates that the portfolio’s value will move with the market. A beta of less than 1 means that the portfolio’s value will be less volatile than the market.

Wilshire® is a registered service mark of Wilshire Associates Incorporated, Santa Monica, California. All other trade names, trademarks, and/or service marks are the property of their respective holders.

Copyright © 2019 Wilshire Associates Incorporated. All rights reserved. Information in this document is subject to change without notice. 

9006273CFN E0120