Continued from page 24
can condense a universe of securities to fit specific criteria.
Vestek has developed more than 50 stock valuation models, including earnings estimate revision, forecast growth, low valuation, past success, risk profile and market liquidity models.
Vestek offers a selection of portfolio optimizers, daily information on index changes, daily performance information, portfolio risk attribution analysis and dividend projection reports.
Its portfolio analytics include risk attribution, performance attribution, performance analysis, profile analysis and portfolio tracking. Vestek's Trade List Manager displays, combines, edits and reprices trades lists, posts trade lists to portfolios and forwards them electronically to brokers.
The firm also offers consulting services and back-testing and simulation studies. More than 200 pension money manager and mutual fund managers, plan sponsors, insurance companies and bank trust departments in four countries use Vestek.
Vestek is part of a financial data company seeking increased synergy among its various parts. In June 1994, Datastream International acquired Vestek for $6.9 million. Datastream, London, is a provider of international financial information services to 1,650 financial organizations in 41 countries.
Datastream itself was acquired by Primark Corp., Waltham, Mass., in 1992. Primark owns Tasc Inc., which provides the U.S. government and commercial customers with system engineering and management services, including mathematical modeling of complex systems, computer simulation and risk assessment.
Primark also acquired Disclosure Inc., a provider of information derived from Securities and Exchange Commission filings, stock exchanges and other sources, and I/B/E/S Inc., a source of global earnings estimates. Primark also has a 50% interest in WorldScope, a global fundamental database.
Vestek can incorporate Datastream's data into its applications.
Primark executives want to further integrate features of its various companies.
Wilshire Associates Inc.
1299 Ocean Ave., Suite 700
Santa Monica, Calif. 90401
(310) 451-3051
Wilshire Associates, founded in 1972, is best known for its pension consulting services. But its institutional services division offers five high-end portfolio analytical products called the Quantum series. Its consulting division also offers PC-based consulting software called Compass for comprehensive help in making investment decisions for plan sponsors.
According to Wilshire executives, the analytical software product Atlas aids money managers in constructing equity portfolios in developed and emerging markets.
Atlas' database provides daily pricing on more than 30,000 equities from more than 60 countries. It values all portfolios on a multicurrency basis. It has global optimization models and integrated developed and emerging market risk models. It offers global performance attribution at both the portfolio and the security level.
Atlas performs back-testing without survivorship bias. It incorporates transaction costs estimates and liquidity constraints. It has customized reporting and graphics capabilities, and proprietary data is incorporated into all applications.
xiom, Wilshire's fixed-income analytical program, incorporates a multifactor risk model and an integrated option pricing model to measure risk and attribute return. Its database includes more than 500,000 securities.
Axiom has a CMO database of more than 50,000 tranches. Its CMO model is fully integrated with its portfolio analytics. Besides basic portfolio analytics, Axiom offers OAS analysis.
Other features of Axiom include portfolio optimization, scenario simulation, performance attribution, asset/liability analysis, mortgage analytics and reverse engineering, and cash flow projection.
Wilshire's Equator, an index fund management program, provides the tools to create and manage a global equity fund relative to any benchmark. Its Abacus program offers global investment accounting and performance, and its Horizon asset allocation program assists investors and plan sponsors with investment structure decisions.
Compass was designed specifically for plan sponsors. It assists them in strategic and tactical asset allocation, investment structure analysis and money manager selection. It further helps in evaluating and monitoring the money managers.
The Windows-based Compass also offers optimization technology and a capital markets database for asset allocation and rebalancing analysis. Compass provides several measures of portfolio style and risk for using and monitoring multiple manager teams. It also includes a comprehensive manger database with performance analytics for manager selection and retention.
The Asset Allocation Module for Compass provides a database of index returns for more than 400 capital market and economic data series.
It has a research library that includes alternative investments, the high-yield market, currency hedging, emerging markets, international equity strategies and mapping manager style.
Wilshire is a closely held company. Quantum products doubled the amount of new business in 1995 from 1994, according to Robert J. Raab, senior vice president and principal at Wilshire, and head of Wilshire's Institutional Services Division. Mr. Raab has been advanced to the status of doctoral candidate in finance at the Graduate School of Management at the University of California, Los Angles.
Dennis A. Tito, the founder and president of Wilshire Associates has completed all course work toward a Phd.D. in finance from the University of California, Los Angeles, Graduate School of Management. Mr. Tito previously worked as a systems analyst at Jet Propulsion Laboratory, La Canada, Calif, and was involved in JPL's space exploration projects. He also was a manager of the Management Sciences Department at Jas. H. Oliphant & Co.
Stephen L. Nesbitt, senior vice president and principal, is head of Wilshire's consulting division. Mr. Nesbitt has an MBA from The Wharton School. Prior to joining Wilshire, Mr. Nesbitt was at the former Wells Fargo Investment Advisors, San Francisco, where he was responsible for product development and portfolio management in the Index Funds Group.
Zephyr Associates Inc.
P.O. Box 12368
Zephyr Cove, Nev. 89448
(800) 789-5323
Since the beginning of the year, 15 new clients have been added for StyleAdvisor, a comprehensive style analysis tool now used by more than 130 clients.
Sales on its StyleAdvisor product have increased more than 400% in 18 months, according to Steve Hardy, president.
Supporters of Zephyr's StyleAdvisor believe it answers a long-standing question of plan sponsors about how to determine the true investment styles of money managers. Relying on the research of William F. Sharpe, Nobel laureate and professor of finance at Stanford University, Palo Alto, Calif., StyleAdvisor mathematically analyzes a manager's investment returns by comparing the returns to a number of style indexes.
To aid in style and attribution analysis, StyleAdvisor can use a database of more than 2,000 money managers and 4,000 mutual funds. The program graphically displays style histories.
It can also analyze the aggregate style of a plan's total equity portfolio to determine unwanted style bets.
For performance analysis and reporting, users can build a customized style benchmark for any money manager. StyleAdvisor also can be used for manager searches.
StyleAdvisor also has important features for money managers. Managers can analyze their investment products to show current and prospective clients consistent investment styles or tactical changes.
StyleAdvisor permits money managers to build customized style benchmarks and display managers' skill in stock selection, even for temporarily out of favor styles.
By building peer group universes with StyleAdvisor, money managers can show their performance in unique manager vs. universe comparisons and risk/return scatter diagrams.
The product analysis capabilities permits money managers to analyze their competitors. StyleAdvisor can do style analysis on more than 2,000 separate account managers and 4,000 mutual funds.
In 1994, Mr. Hardy founded Zephyr Associates and purchased the StyleAdvisor software. Prior to forming Zephyr Associates, Mr. Hardy was a principal of the firm Balch, Hardy, Scheinman & Winston Inc., a money management firm.
Roger Ibbotson is founder of Ibbotson Associates, maker of EnCorr software.
