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  November 2016 Monthly Market Commentary

U.S. Economy and Markets

  • Domestic equity markets were positive in November, as the Wilshire 5000 Total Market IndexSM returned 4.56% and the S&P 500 Index returned 3.70%.
  • Market volatility decreased in November, with the CBOE Volatility Index (VIX) ending the month at 13.33, down from 17.06 at the end of October.
  • Performance across GICS sectors was mixed for the month, with the Financials and Industrials sectors leading the group, returning 14.24% and 9.69%, respectively. On the other hand, Utilities was the worst performing sector in November, falling -4.57%.
  • 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 3.93% and 10.71%, respectively.
  • U.S. manufacturing activity, as measured by the Institute for Supply Management’s PMI, registered 53.2% in November, up from the October reading of 51.9%. Generally a reading above 50% indicates expansion.

International Economy and Markets

  • The Eurozone Purchasing Managers Index registered 54.1% in November, up from 53.3% in October.
  • The MSCI EAFE Index fell -2.00% in November. Emerging markets also finished the month in negative territory, with the MSCI Emerging Markets Index falling -4.60%.
  • Developed international equity market returns were negative in November. The MSCI Japan Index returned -2.41% in U.S. dollar terms and trailed the pack on a relative basis. The MSCI Pacific Index returned -1.64% for the month.

Fixed Income/Real Estate/Commodities

  • The 10-year U.S. Treasury bond ended November at 2.37%.
  • U.S. bond sectors posted negative returns in November, with the broad Bloomberg Barclays U.S. Aggregate Bond Index returning -2.37%. The Bloomberg Barclays Corporate High Yield Index returned -0.47% for the month.
  • U.S. real estate posted negative returns for the month, with the Wilshire U.S. Real Estate Securities IndexSM returning -1.38%. Global real estate securities posted negative returns, with the Wilshire Global ex U.S. Real Estate Securities IndexSM returning -3.50%.
  • Commodities were positive for the month, with the S&P GSCI Commodity Index returning 2.53% and the Bloomberg Commodity Index returning 1.33%.

Alternatives

  • The Wilshire Liquid Alternatives IndexSM returned 0.08% for the month of November. Equity hedge strategies turned in the best monthly performance, with the Wilshire Liquid Alternative Equity Hedge IndexSM returning 1.82%.
  • The Wilshire Liquid Alternative Global Macro IndexSM trailed the pack, returning -1.38%.

GICS Sector Returns*

As of 11/30/2016 MTD (%) QTD (%) YTD (%) 1 Year (%)
Consumer Discretionary 5.30 2.69 7.51 4.61
Consumer Staples -3.82 -4.53 2.78 5.28
Energy 9.25 5.67 25.33 12.20
Financials 14.24 16.35 20.64 17.66
Health Care 3.23 -4.07 -2.62 -1.37
Industrials 9.69 7.44 19.32 16.21
Information Technology 0.39 0.03 12.19 9.15
Materials 8.16 5.53 22.45 17.29
Real Estate -2.05 -7.06 -8.55 -
Telecomm 3.88 -1.75 15.93 18.20
Utilities -4.57 -3.86 12.26 14.66
*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  4.56 2.43 11.08 8.89
Standard & Poor’s 500 3.70 1.81 9.79 8.06
Standard & Poor’s/TSX (CAD) 2.19 2.83 19.10 15.45

U.S. Equity by Size/Style

  MTD (%) QTD (%) YTD (%) 1 Year (%)
Wilshire U.S. Large-Cap IndexSM 3.93 2.07 10.25 8.42
Wilshire U.S. Large-Cap Growth IndexSM 4.28 2.60 7.60 4.91
Wilshire U.S. Large-Cap Value IndexSM 3.58 1.55 12.31 11.26
Wilshire U.S. Small-Cap IndexSM 10.71 5.98 19.78 13.90
Wilshire U.S. Small-Cap Growth IndexSM 11.70 5.99 15.19 8.66
Wilshire U.S. Small-Cap Value IndexSM 9.73 5.98 24.10 18.86
Wilshire U.S. Micro-Cap IndexSM 10.15 3.80 12.27 8.12

International Equity (USD)

  MTD (%) QTD (%) YTD (%) 1 Year (%)
MSCI AC World ex U.S. -2.31 -3.72 1.88 -0.03
MSCI EAFE -2.00 -4.00 -2.34 -3.66
MSCI Europe -2.17 -5.36 -5.36 -7.80
MSCI Pacific -1.64 -1.48 3.70 4.66
MSCI Japan -2.41 -1.12 1.39 1.72
MSCI EM (Emerging Markets) -4.60 -4.38 10.94 8.47

International Equity (Local Currency)

  MTD (%) QTD (%) YTD (%) 1 Year (%)
MSCI AC World ex U.S. 0.53 1.58 3.60 1.11
MSCI EAFE 1.23 2.44 0.78 -1.97
MSCI Europe -0.64 -0.33 1.36 -2.50
MSCI Pacific 4.53 7.49 -0.21 -1.03
MSCI Japan 5.82 11.26 -3.96 -5.99
MSCI EM (Emerging Markets) -2.18 -1.58 9.54 8.37

North American Fixed Income

  MTD (%) QTD (%) YTD (%) 1 Year (%)
Barclays U.S. Aggregate -2.37 -3.11 2.50 2.17
Barclays Long-Term Treasury -7.42 -11.20 1.87 1.85
Barclays U.S. TIPS -1.92 -2.31 4.79 3.96
Barclays U.S. Credit -2.73 -3.56 4.99 4.19
Barclays Corporate High Yield -0.47 -0.09 15.01 12.11

International Fixed Income

  MTD (%) QTD (%) YTD (%) 1 Year (%)
Barclays Global Aggregate (Unhedged) -3.97 -6.64 2.56 3.10
Barclays Global Aggregate (Hedged) -1.65 -2.61 3.66 3.38
JPM EMBI Plus -4.64 -6.55 8.19 6.80

Real Estate/Commodities/Alternatives

  MTD (%) QTD (%) YTD (%) 1 Year (%)
Wilshire U.S. Real Estate Securities IndexSM  -1.38 -6.74 2.62 4.60
Wilshire Global ex U.S. Real Estate Securities IndexSM  -3.50 -8.67 0.57 -1.01
Wilshire Global Real Estate Securities IndexSM  -2.11 -7.40 1.91 2.54
S&P GSCI Commodity (S&P GSCI)  2.53 1.00 6.35 -2.83
Bloomberg Commodity Index  1.33 0.84 9.79 6.40
Wilshire Liquid Alternatives IndexSM  0.08 -0.22 2.09 0.19
Wilshire Liquid Alternative Equity Hedge IndexSM  1.82 1.40 2.34 0.11
Wilshire Liquid Alternative Event Driven IndexSM  0.71 0.68 3.46 0.94
Wilshire Liquid Alternative Global Macro IndexSM  -1.38 -2.54 -2.04 -4.64
Wilshire Liquid Alternative Multi-strategy IndexSM  0.15 -0.58 0.92 -1.36
Wilshire Liquid Alternative Relative Value IndexSM  -0.55 -0.23 4.17 2.98
Wilshire Focused Liquid Alternative IndexSM 0.10 -0.43 1.62 -0.14

*Returns are as of November 30, 2016. Source: Wilshire CompassSM

The Wilshire Indexes are calculated and distributed by Wilshire Associates Incorporated (“Wilshire”). The indices do not represent an investment. It is not possible to invest directly in an index. Exposure to an asset class represented by an index may be available through investable instruments derived from that index. Wilshire makes no representations regarding the advisability of investing in investment products based on the Wilshire Indexes not sponsored, endorsed, sold, or promoted by Wilshire. Index returns do not reflect payment of certain sales charges or fees an investor may pay to purchase the securities underlying the Index or investment vehicles intended to track the performance of the Index. The imposition of these fees and charges would cause actual performance of the securities/vehicles to be lower than the Index performance shown. Inclusion of a company in the Wilshire Indexes does not in any way reflect an opinion of Wilshire on the investment merits of the company.

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.

161205WAS E0117

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