In its search for a risk management system for the fund, the NTMA finally settled on US analytics specialist Wilshire.
Mike Olson, managing director of Wilshire’s London office, explains that the NTMA is using three different products from Wilshire: a product named ‘Atlas’ for equities, ‘Axiom’ for fixed income investments and ‘Spectrum’, which merges the data from the other two.
“These receive daily downloads through the internet of information such as prices, fundamental data and risk characteristics. Then we’ll compute factor returns for performance attribution – although I don’t think NTMA is using this part. After that we convert the data to risk scores using various co-variant methodologies.”
As part of the RFP process, Olson says Wilshire spent a number of meetings running through the basic capabilities of the system and explaining the methodologies involved.
“It was a pretty extensive process and I think what won us the mandate was the kind of basic comments that we get that our risk analysis is usually much more timely than from some of the software of our competitors. Risk figures are sent out within a day or two of month end.”
Olson notes that while the system has stirred interest from pension funds, the prime market has been with asset managers, a fact he hopes the NTMA win will change.
“Wilshire is ecstatic to have NTMA on board. It’s a great name, and having such a notable client using the system will certainly help with the recognition.”