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  Wilshire Liquid Alternative Index Gains 0.38% in August

SANTA MONICA, CA, SEPTEMBER 12, 2017—The Wilshire Liquid Alternative IndexSM, which provides a representative baseline for how the broad liquid alternative investment category performs, returned 0.38% in August, outperforming the 0.29% monthly return of the HFRX Global Hedge Fund Index. 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.

“Capital markets were mixed in August, mirroring heightened geo-political tensions and some mixed economic data,” said Jason Schwarz, President of Wilshire Funds Management. “As a result, investors sought safe-haven assets such as U.S. Treasuries and gold, while reducing exposures to risk-on assets such as lower-rated corporates. Within equity markets, we continued to observe growth-oriented investments outperforming their value-oriented counterparts such as those in the financials and energy sectors.”

Multi-Strategy

  • The Wilshire Liquid Alternative Multi-Strategy IndexSM, which includes both single and multi-manager funds, returned 0.67% in July.

Global Macro

  • The Wilshire Liquid Alternative Global Macro IndexSM ended the month up 0.64%, underperforming the 0.76% return of the HFRX Macro/CTA Index.
  • CTAs and discretionary global macro managers contributed 70 and 9 basis points of return, respectively, while currency managers detracted 15 basis points of return.
  • Bonds, interest rates, and commodities contributed positively to the return, while equity and currency performance was mixed across managers. This was notably a divergence from previous months this year in which performance was driven solely by positive equity performance.

Relative Value

  • The Wilshire Liquid Alternative Relative Value IndexSM ended the month up 0.29%, outperforming the -0.05% return of the HFRX Relative Value Arbitrage Index.
  • Credit and multi-strategy managers contributed the majority of the return, while volatility strategies were slightly negative and remained at near historic lows.
  • Investment grade and high yield credit spreads reversed course from the last few months, widening sharply midway through August.

Equity Hedge

  • The Wilshire Liquid Alternative Equity Hedge IndexSM ended the month up 0.35%, underperforming the 0.50% return of the HFRX Equity Hedge Index.
  • Long-biased and market neutral managers contributed 21 and 9 basis points of return, respectively.
  • Long-biased strategies benefited from rising equity market, with positive contributions from Information Technology, Healthcare, and Utilities sector investments. Meanwhile, managers with exposure to the Energy and Financials sectors underperformed this month.

Event Driven

  • The Wilshire Liquid Alternative Event Driven IndexSM ended the month down -0.30%, underperforming the 0.08% return of the HFRX Event Driven Index.
  • Credit strategies were positive, contributing 20 basis points of return, while merger arbitrage strategies ended the month flat.
  • Managers that were long credit risk underperformed as lower-rated corporate credits lagged for the month.

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 serves in excess of 500 clients across 20 countries with combined assets exceeding $8 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 March 31, 2017, Wilshire Funds Management advises on over $179 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 9/30/16 and 12/31/16, and published 2/6/17 and 5/29/17, respectively.

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2017 Third Quarter Market Update
  • Presented by: Josh Emanuel, CIO, Wilshire Funds Management
  • Date: Wed., Oct. 18, 2017