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  Wilshire Liquid Alternative Index Gains 0.08% in November

SANTA MONICA, CA, DECEMBER 9, 2016—The Wilshire Liquid Alternative IndexSM, which provides a representative baseline for how the broad liquid alternative investment category performs, returned 0.08% in November, underperforming the 0.87% monthly return for the HFRX Global Hedge Fund Index. The Wilshire Liquid Alternative Multi-Strategy IndexSM, which includes both single and multi-manager funds, returned 0.15% in November. The Wilshire Liquid Alternative Index family is a joint offering between Wilshire Funds Management, the global investment management business unit of Wilshire Associates Incorporated, and Wilshire Analytics, creator of the Wilshire 5000 Total Market IndexSM.

The Wilshire Liquid Alternative Equity Hedge IndexSM, which includes long/short equity and market neutral funds, gained 1.82% in November, outperforming the HFRX Equity Hedge Index by 35 basis points. Long-biased equity managers detracted -1.69% from Index performance, as equity markets reacted favorably to the U.S. presidential election and the new administration’s emphasis on pro-growth economic policies. Long-biased value managers were the strongest performers due to their positions in companies expected to benefit from future infrastructure plans and a more favorable regulatory environment for financial institutions. Exposure to small-cap stocks was materially beneficial, with the Russell 2000 Index gaining 11.2% for the month. Moreover, the sharp rise in interest rates enabled certain managers to benefit from shorts in rate-sensitive consumer staples and utilities companies. Market neutral strategies contributed 16 basis points to the Index return, while short-biased managers detracted eight basis points from the Index return. Exposure to the Energy, Materials, and Financials sectors was materially positive in November.

The Wilshire Liquid Alternative Global Macro IndexSM, which includes systematic, discretionary, commodity, and currency funds, ended November down -1.38%, underperforming the -0.69% return of the HFRX Macro/CTA Index. CTAs struggled for the fourth month in a row, posting negative returns, as reversals in market trends challenged trend-following strategies, and there was a strong surge in equity markets, the U.S. dollar, and U.S. government yields following the election. Systematic managers/CTAs detracted 118 basis points in November, while discretionary managers, although managing the volatility and reversal, still contributed -32 basis points to negative returns in November.

“As we saw in October, discretionary managers were positioned defensively going into the election and were not able to take advantage of the rally in the market,” said Jason Schwarz, President of Wilshire Funds Management. “As the U.S. dollar continued to strengthen, currency managers contributed 12 basis points of positive return in November.”

The Wilshire Liquid Alternative Event Driven IndexSM, which includes credit, merger arbitrage, and special situations funds, gained 0.70% in November, underperforming the HFRX Event Driven Index by 112 basis points. Credit managers contributed five basis points to Index performance as the corporate credit markets reacted to the rise in interest rates. Managers holding shorter-duration exposures fared better than managers with more rate-sensitive holdings. Special situation equity positions in small-cap energy and materials companies also benefited in November. Merger arbitrage strategies and multi-strategy event managers were equally positive, both contributing 32 basis points to Index performance.

The Wilshire Liquid Alternative Relative Value IndexSM, which includes credit, convertible arbitrage, and volatility funds, finished the month down -0.55%, underperforming the HFRX Relative Value Arbitrage Index, which gained 0.45% in November. Managers were hurt by defensive positioning that was long Treasuries following the post-election increase in U.S. government yields. Credit managers contributed 30 of the 55 basis points of negative return while multi-strategy and volatility managers contributed the remaining 19 and 6 basis points of negative return, respectively.

About Wilshire Associates

Wilshire Associates, a leading global, independent investment consulting and services firm, provides consulting services, analytics solutions, and customized investment products to plan sponsors, investment managers, and financial intermediaries. Its business units include Wilshire Analytics, Wilshire Consulting, Wilshire Funds Management, and Wilshire Private Markets. Based in Santa Monica, California, Wilshire provides services to clients in more than 20 countries representing more than 500 organizations with assets totaling approximately US $7 trillion.*

The Wilshire Liquid Alternative Index family is a joint offering between Wilshire Funds Management and Wilshire Analytics. Wilshire Funds Management leverages Wilshire’s institutional expertise to offer investment advisory services, retirement services, and hedge fund managed account services to some of the largest banks, broker/dealers, asset managers, insurance companies, and retirement plan providers. As of September 30, 2016, Wilshire Funds Management advises on over $157 billion. Wilshire Analytics provides investment firms worldwide with multi-asset class solutions for analytics, attribution, risk management, performance, GIPS reporting, total fund reporting, peer universe and style comparisons. Wilshire Analytics is the creator of the Wilshire 5000 Total Market IndexSM, widely accepted as the definitive benchmark for the broad U.S. stock market.

Please visit www.wilshire.com for more information.
Twitter: @WilshireAssoc

*Client assets are as represented by Pensions & Investments (P&I), detailed in P&I’s “Largest Retirement Funds.” and P&I’s “Largest Money Managers (U.S. institutional tax-exempt assets..” as of 9/30/15 and 12/31/15, and published 2/8/16 and 5/30/16, respectively.

CONTACT: Prosek Partners | pro-wilshire@prosek.com

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