Wilshire Associates index and return computations

Literature › Primary sources

Kind	stock market financial data
Producer	Wilshire Associates
Coverage	c.1973-1984
Works using it	1

Debates

Debate	Works
Sanctions, disinvestment and the anti-apartheid movement	1

Works using this source

Work	As cited	Period	How used
Wagner et al. (1984)	Beta and R-squared calculations for the Alternative Universe and manager-style portfolios (Tables II, VI)	Around 1984	Quantifies the higher market risk (beta 1.08) and diversification (R-squared 0.968) of the restricted universe and its effects on manager styles.
Wagner et al. (1984)	Wilshire 5000 index	1983-1984	Used to show the South Africa-linked companies make up almost 35 per cent of all common stock weight.
Wagner et al. (1984)	Wilshire Associates estimates of returns on largest 500 vs second largest 500 U.S. companies (cited via Nesbitt, Pension and Investment Age, 5 Sept 1983) and 1983-84 market decline	Ten years to 1983; July 1983-June 1984	Supports explanation that the higher return of the replacement portfolio reflects the small firm effect and that smaller firms carry more downside risk.
Wagner et al. (1984)	Wilshire Associates return computations for the 152-stock South Africa-linked portfolio and the 152 replacement stocks (five-year)	Approximately 1979-1984	Shows the replacement portfolio's higher five-year return, attributed to a small-firm effect.