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  February 2016 Monthly Market Commentary

U.S. Economy and Markets

  • Domestic equity markets were modestly down in February, as the Wilshire 5000 Total Market IndexSM returned -0.05% and the S&P 500 Index returned -0.13%.
  • Market volatility increased slightly in February, with the CBOE Volatility Index (VIX) ending the month at 20.55, up from 20.20 at the end of January 2015.
  • Performance across GICS sectors was mixed for the month, with the Materials and Industrials sectors leading the group, returning 6.85% and 3.67%, respectively. Energy was the worst performing sector, falling -2.40%.
  • Small cap stocks outperformed their large cap counterparts this month, with the Wilshire U.S. Large Cap IndexSM and the Wilshire U.S. Small Cap IndexSM returning -0.14% and 0.83%, respectively.
  • Fourth quarter 2015 U.S. real gross domestic product (GDP) registered at 1.0%, while third quarter GDP registered at 2.0%.
  • U.S. manufacturing activity, as measured by the Institute for Supply Management’s PMI, registered 49.5% in February, up from the January reading of 48.2%. Generally a reading above 50% indicates expansion.

International Economy and Markets

  • The MSCI EAFE Index returned -1.83% in February. Emerging markets also finished the month in negative territory, with the MSCI Emerging Markets Index returning -0.16%.
  • Developed international equity market returns were negative in February. The MSCI Pacific Index returned -1.90% in U.S. dollar terms. European equities led the pack on a relative basis, with the MSCI Europe Index returning -1.79% for the month.
  • The Eurozone Purchasing Managers Index registered 51.2% in February, down from 53.6% in January.

Fixed Income/Real Estate/Commodities

  • The 10-year U.S. Treasury bond ended February at 1.74%.
  • U.S. bond sectors posted mostly positive returns in February, with the broad Barclays U.S. Aggregate Bond Index returning 0.71%. The Barclays Corporate High Yield Index returned 0.57% for the month.
  • U.S. real estate posted negative returns for the month, with the Wilshire U.S. Real Estate Securities IndexSM returning -0.83%. Global real estate securities posted positive returns, with the Wilshire Global ex U.S. Real Estate Securities IndexSM returning 1.81%.
  • Commodities were negative for the month, with the S&P GSCI Commodity Index falling -2.01% and the Bloomberg Commodity Index returning -1.63%.

Alternatives

  • The Wilshire Liquid Alternatives IndexSM was negative for February, returning -0.34%. Global macro strategies turned in the best monthly performance, with the Wilshire Liquid Alternative Global Macro IndexSM returning 0.91%.
  • The Wilshire Liquid Alternative Relative Value IndexSM turned in the worst monthly performance, returning -0.74%.

GICS Sector Returns*

As of 2/29/2016 MTD (%) QTD (%) YTD (%) 1 Year (%)
Consumer Discretionary 0.58 -4.91 -4.91 -2.77
Consumer Staples 0.19 0.56 0.56 3.35
Energy -2.40 -5.90 -5.90 -26.65
Financials -2.33 -10.45 -10.45 -10.63
Health Care -0.42 -9.72 -9.72 -8.48
Industrials 3.67 -2.77 -2.77 -7.66
Information Technology -1.13 -6.40 -6.40 -5.72
Materials 6.85 -3.84 -3.84 -18.31
Telecomm 2.06 8.08 8.08 6.78
Utilities 1.76 6.63 6.63 6.01
*Wilshire 5000 Total Market IndexSM. Source: Wilshire AtlasSM Note: Index returns are preliminary and are subject to revision.

North American Equity

  MTD (%) QTD (%) YTD (%) 1 Year (%)
Wilshire 5000 Total Market IndexSM  -0.05 -5.51 -5.51 -7.44
Standard & Poor’s 500 -0.13 -5.09 -5.09 -6.19
Standard & Poor’s/TSX (CAD) 0.47 -9.78 -0.71 -12.93

U.S. Equity by Size/Style

  MTD (%) QTD (%) YTD (%) 1 Year (%)
Wilshire U.S. Large-Cap IndexSM -0.14 -5.32 -5.32 -6.66
Wilshire U.S. Large-Cap Growth IndexSM -0.65 -8.09 -8.09 -9.31
Wilshire U.S. Large-Cap Value IndexSM 0.28 -3.01 -3.01 -4.50
Wilshire U.S. Small-Cap IndexSM 0.83 -7.02 -7.02 -14.27
Wilshire U.S. Small-Cap Growth IndexSM 0.01 -10.16 -10.16 -18.45
Wilshire U.S. Small-Cap Value IndexSM 1.54 -4.15 -4.15 -10.32
Wilshire U.S. Micro-Cap IndexSM -0.38 -9.97 -9.97 -15.04

International Equity (USD)

  MTD (%) QTD (%) YTD (%) 1 Year (%)
MSCI AC World ex U.S. -1.14 -7.87 -7.87 -17.37
MSCI EAFE -1.83 -8.93 -8.93 -15.18
MSCI Europe -1.79 -8.26 -8.26 -16.14
MSCI Pacific -1.90 -10.15 -10.15 -13.59
MSCI Japan -2.74 -10.74 -10.74 -9.90
MSCI EM (Emerging Markets) -0.16 -6.64 -6.64 -23.41

Non-U.S. Equity (Local Currency)

  MTD (%) QTD (%) YTD (%) 1 Year (%)
MSCI AC World ex U.S. -2.61 -7.91 -7.91 -13.18
MSCI EAFE -3.56 -9.19 -9.19 -12.58
MSCI Europe -1.86 -6.71 -6.71 -11.21
MSCI Pacific -6.66 -13.61 -13.61 -15.30
MSCI Japan -9.32 -16.25 -16.25 -14.93
MSCI EM (Emerging Markets) 0.06 -5.16 -5.16 -14.68

North American Fixed Income

  MTD (%) QTD (%) YTD (%) 1 Year (%)
Barclays U.S. Aggregate 0.71 2.10 2.10 1.50
Barclays Long-Term Treasury 2.98 8.15 8.15 3.98
Barclays U.S. TIPS 1.11 2.61 2.61 -0.75
Barclays U.S. Credit 0.84 1.36 1.36 -1.20
Barclays Corporate High Yield 0.57 -1.04 -1.04 -8.30

International Fixed Income

  MTD (%) QTD (%) YTD (%) 1 Year (%)
Barclays Global Aggregate (Unhedged) 2.23 3.11 3.11 0.84
Barclays Global Aggregate (Hedged) 0.96 2.44 2.44 2.19
JPM EMBI Plus 1.97 3.48 2.63 3.16

Real Estate/Commodities/Alternatives

  MTD (%) QTD (%) YTD (%) 1 Year (%)
Wilshire U.S. Real Estate Securities IndexSM  -0.83 -4.65 -4.65 -2.88
Wilshire Global ex U.S. Real Estate Securities IndexSM  1.81 -3.12 -3.12 -12.05
Wilshire Global Real Estate Securities IndexSM  0.13 -4.08 -4.08 -6.51
S&P GSCI Commodity (S&P GSCI)  -2.01 -7.08 -7.08 -36.65
Bloomberg Commodity Index  -1.63 -3.28 -3.28 -26.50
Wilshire Liquid Alternatives IndexSM  -0.34 -1.63 -1.63 -6.21
Wilshire – Liquid Alternative Equity Hedge IndexSM  -0.30 -2.77 -2.77 -8.36
Wilshire – Liquid Alternative Event Driven IndexSM  -0.08 -1.66 -1.66 -6.54
Wilshire – Liquid Alternative Global Macro IndexSM  0.91 1.91 1.91 -3.96
Wilshire – Liquid Alternative Multi-strategy IndexSM  -0.62 -2.35 -2.35 -7.05
Wilshire – Liquid Alternative Relative Value IndexSM  -0.74 -1.86 -1.86 -5.43

*Returns are as of February 29, 2016. Source: Wilshire CompassSM

The information from third parties contained herein has been obtained from sources believed to be reliable. Wilshire Funds Management gives no representations or warranties as to the accuracy of such information, and accepts no responsibility or liability (including for indirect, consequential or incidental damages) for any error, omission or inaccuracy in such information and for results obtained from its use. Wilshire Funds Management (“WFM”) is a business unit of Wilshire Associates Incorporated (“Wilshire®”). WFM delivers Wilshire Advisor Solutions, which include models designed to provide a broad range of outcome-oriented investment solutions for advisors to use with their clients. 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.

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