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The Wilshire Liquid Alternative Multi-Strategy IndexSM, which includes both single and multimanager funds, returned 0.13% in September. 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 0.19% in September, underperforming the HFRX Equity Hedge Index by 134 basis points. Long-biased equity managers experienced mixed performance as gains from healthcare sector-focused funds, covered call strategies, and fundamental long short strategies offset losses in value-oriented strategies. Market-neutral strategies were generally mixed in September. Long-biased managers contributed 15 basis points while market neutral managers added 6 basis points, partially offset by short-biased managers. Exposure to Energy, Information Technology, and Utilities sectors were materially positive in September.

The Wilshire Liquid Alternative Global Macro IndexSM, which includes systematic, discretionary, commodity and currency funds, ended negative for September, returning -0.46%, underperforming the HFRX Macro/CTA Index’s -0.15% return. CTAs suffered at the hands of trend reversals in energy prices and fixed income, while choppy currency markets caused trouble for managers. “While Discretionary managers posted negative returns on the month, they did have an easier time navigating the choppy markets over systematic strategies,” said Jason Schwarz, president of Wilshire Funds Management. Systematic managers/CTA’s contributed 43 of the 46 basis point loss on the month while discretionary managers, relatively flat in September, contributed 3 basis points of loss to the index.

The Wilshire Liquid Alternative Event Driven IndexSM, which includes credit, merger arbitrage and special situations funds, gained 0.27% in September, outperforming the HFRX Event Driven Index by 22 basis points. Merger arbitrage strategies were positive in the month, contributing 15 basis points to the index performance, while Long-biased corporate credit strategies continued to benefit from the recovery in the high yield credit markets, contributing 16 basis points to the index’s performance. Multi-strategy event managers were also positive in September, contributing 5 basis points to the index return.

The Wilshire Liquid Alternative Relative Value IndexSM, which includes credit, convertible arbitrage and volatility funds, finished the month up 0.34%, underperforming the HFRX Relative Value Arbitrage Index by 16 basis points. September performance was driven almost entirely by credit managers who, once again, benefited by relatively stable IG credit spreads as well as a slight tightening of high yield spreads. Credit managers contributed 30 of the 34 basis points of return while Convertible Arbitrage, Volatility, and Multi-Strategy managers all had slightly positive performance contributing to the remaining 4 basis points for September.