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  Wilshire Liquid Alternative Index Gains 0.78% in October

SANTA MONICA, CA, NOVEMBER 15, 2017—The Wilshire Liquid Alternative IndexSM, which provides a representative baseline for how the broad liquid alternative investment category performs, returned 0.78% in October, outperforming the 0.69% 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.

“Every Wilshire liquid alternative index was notably positive this month, and CTAs significantly recovered from the negative performance seen last month due to strong equity and commodity trends in October,” said Jason Schwarz, President of Wilshire Funds Management.

Multi-Strategy

  • The Wilshire Liquid Alternative Multi-Strategy IndexSM, which includes both single and multi-manager funds, returned 0.99% in October.

Global Macro

  • The Wilshire Liquid Alternative Global Macro IndexSM, which includes systematic, discretionary, commodity, and currency funds, ended the month up 2.29%, outperforming the 1.92% return of the HFRX Macro/CTA Index.
  • CTAs contributed 220 basis points of return, which represented almost the entire index return.
  • Equities and commodities were the largest drivers of returns, while currencies and interest rates were flat to negative for the month.
  • Discretionary global macro managers contributed three basis points of return, while currency managers contributed 11 basis points.

Relative Value

  • The Wilshire Liquid Alternative Relative Value IndexSM, which includes credit, convertible arbitrage and volatility funds, ended the month up 0.08%, trailing the HFRX Relative Value Arbitrage Index, which returned 0.52%, by 44 basis points.
  • Credit and multi-strategy managers contributed the majority of the return, 14 and 8 basis points, respectively.
  • Volatility continued to be subdued, and volatility strategies consequently detracted 10 basis points of return this month.
  • Investment grade and high yield credit spreads tightened further, with investment grade spreads dropping to as low as 1% intra-month. U.S. Treasury yields widened from 2.33% to 2.38% as earnings and economic data were generally positive.

Equity Hedge

  • The Wilshire Liquid Alternative Equity Hedge IndexSM, which includes long/short equity and market neutral funds, gained 0.85% in October, outperforming the HFRX Equity Hedge Index by six basis points.
  • Long-biased managers contributed 65 basis points of return, while market neutral managers added 11 basis points.
  • Rising equity markets benefited long-biased strategies, with positive contributions from the Information Technology, Financials, Materials, and Utilities sectors. Meanwhile, managers with exposure to the Consumer Staples, Telecommunications, and Health Care sectors underperformed.
  • Managers focused on emerging and European markets were notable outperformers, and growth-oriented managers continued to materially outperform value-oriented managers.

Event Driven

  • The Wilshire Liquid Alternative Event Driven IndexSM, which includes credit, merger arbitrage, and special situations funds, ended October up 0.35%, outperforming the HFRX Event Driven Index by 48 basis points.
  • Credit managers added 15 basis points of return, merger arbitrage managers added 13 basis points, and multi-strategy event managers added two basis points this month.
  • Managers that were long credit risk added value as lower-rated corporate bonds and loans gained.

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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Please visit www.wilshire.com.

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