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  Wilshire Liquid Alternative Index Gains in 0.67% July

SANTA MONICA, CA, AUGUST 11, 2017—The Wilshire Liquid Alternative IndexSM, which provides a representative baseline for how the broad liquid alternative investment category performs, returned 0.67% in July, underperforming the 0.93% 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.

“Trends observed in the first quarter continued during the second quarter as equity markets appreciated both domestically and globally,” said Jason Schwarz, President of Wilshire Funds Management. “More specifically, fundamental growth strategies continued to outperform value-oriented strategies, and corporate debt markets continued to exhibit positive performance as high yield credit gained each month.”

Multi-Strategy

  • The Wilshire Liquid Alternative Multi-Strategy IndexSM, which includes both single and multi-manager funds, returned 0.80% in July.

Global Macro

  • The Wilshire Liquid Alternative Global Macro IndexSM ended the month up 0.64%, underperforming the 0.94% return of the HFRX Macro/CTA Index.
  • CTAs contributed 54 basis points of return while discretionary global macro managers contributed 15 basis points of return.

Relative Value

  • The Wilshire Liquid Alternative Relative Value IndexSM ended the month up 0.50%, underperforming the 0.91% 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, as well as U.S. Treasury rates, tightened, which slightly benefited asset-backed and corporate credit managers.

Equity Hedge

  • The Wilshire Liquid Alternative Equity Hedge IndexSM ended the month up 0.97%, outperforming the 0.87% return of the HFRX Equity Hedge Index.
  • Long-biased and market neutral managers contributed positively to the month with 88 and 5 basis points of return, respectively, while short-biased managers detracted -3 basis points.
  • Long-biased strategies benefited from rising equity markets, with positive contributions from the Information Technology sector and Telecommunications investments.
  • Growth-oriented strategies continued to materially outperform value-oriented strategies.

Event Driven

  • The Wilshire Liquid Alternative Event Driven IndexSM ended the month up 0.26%, underperforming the 1.00% return of the HFRX Event Driven Index.
  • Credit and merger arbitrage strategies contributed positively to the month with 16 and 6 basis points of return, respectively.
  • Managers that were long credit risk benefited from the gain in high yield bonds.

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 multiasset 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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Replay Now Available!

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