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  July 2016 Monthly Market Commentary

U.S. Economy and Markets

  • Domestic equity markets were positive in July, as the Wilshire 5000 Total Market IndexSM returned 3.93% and the S&P 500 Index returned 3.69%.
  • Market volatility decreased in July, with the CBOE Volatility Index (VIX) ending the month at 11.87, down from 15.63 at the end of June 2016.
  • Performance across GICS sectors was mixed for the month, with the Information Technology and Materials sectors leading the group, returning 7.79% and 5.64%, respectively. On the other hand, Energy was the worst performing sector in July, falling -1.99%.
  • 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 3.75% and 5.65%, respectively.
  • Second quarter 2016 U.S. real gross domestic product (GDP) registered at 1.2%, according to the Bureau of Economic Analysis, while first quarter 2016 GDP registered at 0.8%.
  • U.S. manufacturing activity, as measured by the Institute for Supply Management’s PMI, registered 52.6% in July, down from the June reading of 53.2%. Generally a reading above 50% indicates expansion.

International Economy and Markets

  • The MSCI EAFE Index returned 5.07% in July. Emerging markets also finished the month in positive territory, with the MSCI Emerging Markets Index rising 5.03%.
  • Developed international equity market returns were positive in July. The MSCI Pacific Index returned 6.64% in U.S. dollar terms. European trailed the pack on a relative basis, with the MSCI Europe Index returning 4.19% for the month.
  • The Eurozone Purchasing Managers Index registered 52.0% in July, down from 52.8% in June.

Fixed Income/Real Estate/Commodities

  • The 10-year U.S. Treasury bond ended July at 1.46%.
  • U.S. bond sectors posted positive returns in July, with the broad Barclays U.S. Aggregate Bond Index returning 0.63%. The Barclays Corporate High Yield Index returned 2.70% for the month.
  • U.S. real estate posted positive returns for the month, with the Wilshire U.S. Real Estate Securities IndexSM returning 4.04%. Global real estate securities posted positive returns, with the Wilshire Global ex U.S. Real Estate Securities IndexSM returning 4.26%.
  • Commodities were negative for the month, with the S&P GSCI Commodity Index returning -9.57% and the Bloomberg Commodity Index returning -5.11%.

Alternatives

  • The Wilshire Liquid Alternatives IndexSM was positive for July, returning 1.18%. Equity hedge strategies turned in the best monthly performance, with the Wilshire Liquid Alternative Equity Hedge IndexSM returning 1.51%.
  • The Wilshire Liquid Alternative Global Macro IndexSM trailed the pack, returning 0.64%.

GICS Sector Returns*

As of 7/31/2016 MTD (%) QTD (%) YTD (%) 1 Year (%)
Consumer Discretionary 4.86 4.86 5.52 2.08
Consumer Staples -0.50 -0.50 9.90 11.08
Energy -1.99 -1.99 13.16 0.20
Financials 3.92 3.92 2.91 -1.09
Health Care 5.54 5.54 4.82 -1.37
Industrials 3.68 3.68 10.12 9.06
Information Technology 7.79 7.79 7.32 8.64
Materials 5.64 5.64 17.29 11.37
Telecomm 1.65 1.65 25.45 25.06
Utilities -0.85 -0.85 22.72 24.13
*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  3.93 3.93 8.07 5.17
Standard & Poor’s 500 3.69 3.69 7.66 5.61
Standard & Poor’s/TSX (CAD) 3.91 3.91 14.13 4.02

U.S. Equity by Size/Style

  MTD (%) QTD (%) YTD (%) 1 Year (%)
Wilshire U.S. Large-Cap IndexSM 3.75 3.75 7.84 5.53
Wilshire U.S. Large-Cap Growth IndexSM 4.89 4.89 3.56 -0.56
Wilshire U.S. Large-Cap Value IndexSM 2.70 2.70 11.58 11.12
Wilshire U.S. Small-Cap IndexSM 5.65 5.65 10.90 2.52
Wilshire U.S. Small-Cap Growth IndexSM 6.24 6.24 5.59 -5.28
Wilshire U.S. Small-Cap Value IndexSM 5.07 5.07 16.01 10.34
Wilshire U.S. Micro-Cap IndexSM 4.86 4.86 1.59 -5.64

International Equity (USD)

  MTD (%) QTD (%) YTD (%) 1 Year (%)
MSCI AC World ex U.S. 4.93 4.93 3.89 -5.56
MSCI EAFE 5.07 5.07 0.42 -7.53
MSCI Europe 4.19 4.19 -1.16 -10.30
MSCI Pacific 6.64 6.64 3.69 -2.02
MSCI Japan 6.48 6.48 0.54 -3.49
MSCI EM (Emerging Markets) 5.03 5.03 11.77 -0.75

Non-U.S. Equity (Local Currency)

  MTD (%) QTD (%) YTD (%) 1 Year (%)
MSCI AC World ex U.S. 4.55 4.55 0.26 -6.51
MSCI EAFE 4.75 4.75 -2.81 -9.12
MSCI Europe 4.00 4.00 0.10 -6.23
MSCI Pacific 6.11 6.11 -7.92 -14.31
MSCI Japan 6.37 6.37 -14.34 -20.17
MSCI EM (Emerging Markets) 4.24 4.24 7.83 0.59

North American Fixed Income

  MTD (%) QTD (%) YTD (%) 1 Year (%)
Barclays U.S. Aggregate 0.63 0.63 5.98 5.94
Barclays Long-Term Treasury 2.24 2.24 17.71 17.85
Barclays U.S. TIPS 0.87 0.87 7.16 5.04
Barclays U.S. Credit 1.31 1.31 8.95 8.28
Barclays Corporate High Yield 2.70 2.70 12.01 4.98

International Fixed Income

  MTD (%) QTD (%) YTD (%) 1 Year (%)
Barclays Global Aggregate (Unhedged) 0.75 0.75 9.78 9.45
Barclays Global Aggregate (Hedged) 0.60 0.60 6.50 6.95
JPM EMBI Plus 0.86 0.86 13.25 13.47

Real Estate/Commodities/Alternatives

  MTD (%) QTD (%) YTD (%) 1 Year (%)
Wilshire U.S. Real Estate Securities IndexSM  4.04 4.04 16.12 21.33
Wilshire Global ex U.S. Real Estate Securities IndexSM  4.26 4.26 11.63 4.52
Wilshire Global Real Estate Securities IndexSM  4.12 4.12 14.55 14.82
S&P GSCI Commodity (S&P GSCI)  -9.57 -9.57 -0.65 -22.18
Bloomberg Commodity Index  -5.11 -5.11 7.46 -7.98
Wilshire Liquid Alternatives IndexSM  1.18 1.18 2.04 -1.64
Wilshire – Liquid Alternative Equity Hedge IndexSM  1.51 1.51 0.81 -3.38
Wilshire – Liquid Alternative Event Driven IndexSM  0.99 0.99 1.82 -2.84
Wilshire – Liquid Alternative Global Macro IndexSM  0.64 0.64 2.10 -1.72
Wilshire – Liquid Alternative Multi-strategy IndexSM  1.31 1.31 1.33 -2.80
Wilshire – Liquid Alternative Relative Value IndexSM  1.18 1.18 3.18 0.23

*Returns are as of July 31, 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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