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  Wilshire Liquid Alternative Index Gains 1.59% in January

SANTA MONICA, CA, FEBRUARY 13, 2018—The Wilshire Liquid Alternative IndexSM, which provides a representative baseline for how the broad liquid alternative investment category performs, returned 1.59% in January, underperforming the 2.45% 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.

“The continued rally in equities led the Wilshire Liquid Alternative Global Macro IndexSM to its strongest monthly return since inception. CTAs led the charge and contributed the majority of this return, having captured the strong and long term upward trend in equity markets,” said Jason Schwarz, President of Wilshire Funds Management and Wilshire Analytics


The Wilshire Liquid Alternative Multi-Strategy IndexSM, which includes both single and multi-manager funds, returned 1.54% in January.

Global Macro

The Wilshire Liquid Alternative Global Macro IndexSM ended the month up 2.74%, underperforming the 3.80% return of the HFRX Macro/CTA Index.

  • CTAs contributed almost the entire return, 225 basis points, in January.
  • U.S. equities were the strongest contributor for all managers, while all other asset classes and geographies delivered mixed performance.
  • Discretionary global macro contributed over 50 basis points of return, driven by equity markets.
  • Currency managers slightly detracted for the month.

Relative Value

The Wilshire Liquid Alternative Relative Value IndexSM ended the month up 0.63%, underperforming the 1.09% return of the HFRX Relative Value Arbitrage Index.

  • Credit and multi-strategy managers contributed the majority of the return, 47 basis points and 19 basis points of return, respectively, while volatility strategies detracted 5 basis points of return. Convertible arbitrage strategies also contributed positively to the return for the month.
  • Investment grade and high yield credit spreads tightened further, from 0.99% down to 0.91% for investment grade credits and from 3.63% down to 3.29% for high yield.
  • U.S. treasury yields widened significantly, from 2.40% to 2.72%.

Equity Hedge

The Wilshire Liquid Alternative Equity Hedge IndexSM ended the month up 2.52%, underperforming the 3.41% return of the HFRX Equity Hedge Index.

  • Long-biased managers contributed 211 basis points of return while market neutral managers added 20 basis points of return.
  • Long-biased strategies benefited from rising equity markets, with positive contributions coming from the Information Technology, Consumer Discretionary, Health Care and Financials sectors.
  • Growth-oriented strategies continued to outperform value-oriented strategies.

Event Driven

The Wilshire Liquid Alternative Event Driven IndexSM ended the month up 0.87%, underperforming the 1.76% return of the HFRX Event Driven Index.

  • Credit strategies gained 31 basis points of return, while merger arbitrage strategies added 32 basis points of return, and multi-strategy event funds added 20 basis points of return.
  • Managers that were long credit risk contributed positively as credit spreads tightened, offering a favorable environment for merger arbitrage strategies and special situation equity positions.

About Wilshire Associates

Wilshire Associates, a leading global financial services firm, provides consulting services, analytics solutions, and customized investment solutions to plan sponsors, investment managers, and financial intermediaries. Its business units include Wilshire Analytics, Wilshire Consulting, Wilshire Funds Management, and Wilshire Private Markets.

The firm was founded in 1972, providing revolutionary technology and acting as an early innovator in the application of investment analytics and research to investment managers in the institutional marketplace. Wilshire also is credited with helping to develop the field of quantitative investment analysis that uses mathematical tools to analyze market risks. All other business units evolved from Wilshire’s strong analytics foundation. Wilshire developed the Wilshire 5000 Total Market Index and became an early innovator in creating integrated asset/liability analysis/simulation models as well as practical models in risk budgeting through beta and active risk analysis.

Wilshire has grown to a firm of approximately 300 employees serving the needs of investors around the world. 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 $8 trillion.*

With 10 offices worldwide, Wilshire Associates and its affiliates are dedicated to providing clients with the highest quality counsel, products and services. Wilshire® and Wilshire 5000® are registered service marks of Wilshire Associates Incorporated. Wilshire 5000 Total Market IndexSM is a service mark of Wilshire Associates Incorporated.

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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.

The data and charts in this article are copyrighted and owned by Wilshire Associates Incorporated.

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