Wilshire Consulting, the institutional investment advisory and outsourced-CIO (OCIO) business unit of Wilshire Associates, is to support the Iowa Public Employees’ Retirement System (IPERS) in conducting its “Alpha Search” which seeks to identify managers based on their ability to deliver alpha regardless of the manager’s ‘beta’ (ie, benchmark).
“The unique Alpha Search process will seek to help IPERS capture the benefits of a broader, more comprehensive investment program in today’s increasingly complex financial environment,” says Andrew Junkin (pictured), President of Wilshire Consulting. “We are excited to be at the forefront of this emerging trend in manager selection with a client like IPERS.”
The shift in IPERS’ approach is the latest step in the organisation’s adoption of a more holistic view of public markets portfolio manager structuring as it moves away from traditional asset class “silos.” IPERS’ objective is to identify managers that have demonstrated persistent alpha, low alpha correlation with equity drawdowns, and low alpha correlation with other managers within the IPERS investment program.
“This approach separates beta and alpha decisions. We will evaluate all types of public market active strategies at the same time. Each strategy will be evaluated in terms of how it can help IPERS meet its return objectives within our active risk budget – not just how well the strategy has performed against its asset class benchmark,” says Karl Koch, CFA, IPERS’ Chief Investment Officer.
IPERS is a USD31 billion multi-employer, cost sharing defined benefit plan with 350,000 participants.
The Alpha Search will be conducted in three phases, with the first phase consisting of a quantitative evaluation of investment metrics based upon each firm’s alpha. The second phase will involve a qualitative assessment of the top scoring firms from the first phase. Phase three will involve due diligence.
