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Alternative Market Briefing

Wilshire Liquid Alternative Index down -0.27% in August

Thursday, September 12, 2019

Laxman Pai, Opalesque Asia:

The Wilshire Liquid Alternative Index returned -0.27% in August, underperforming the 0.38 % monthly return of the HFRX Global Hedge Fund Index.

The Wilshire Liquid Alternative Index family, which provides a representative baseline for how the broad liquid alternative investment category performs, is a joint offering between Wilshire Funds Management, the global investment management business unit of Wilshire Associates, and Wilshire Analytics, creator of the Wilshire 5000 Total Market Index.

"August proved to be a volatile month for risk assets, with escalating trade war rhetoric and lingering concerns over global growth, overshadowing the Federal Reserve's decision to cut rates by 25 basis points at the end of July," says Jason Schwarz, President of Wilshire Funds Management and Wilshire Analytics.

The Wilshire Liquid Alternative Multi-Strategy Index, which includes both single and multi-manager funds, returned -0.63% in August.

Wilshire Liquid Alternative Global Macro Index up 1.03%

The Wilshire Liquid Alternative Global Macro Index ended the month up 1.03%, underperforming the 1.67% return of the HFRX Macro/CTA Index.

Despite a volatile month for equities, the global rally in fixed income ultimately led to another positive month for CTAs, who maintain near-maximum long exposure. Managers also benefitted from foreign currency and Energy sector shorts.

Discretionary global macro managers also performed posit......................

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