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Wilshire Liquid Alternative Index gains 0.38% In August

Tuesday, September 12, 2017
Opalesque Industry Update - The Wilshire Liquid Alternative Index, which provides a representative baseline for how the broad liquid alternative investment category performs, returned 0.38% in August, outperforming the 0.29% 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 Index.

"Capital markets were mixed in August, mirroring heightened geo-political tensions and some mixed economic data," said Jason Schwarz, President of Wilshire Funds Management. "As a result, investors sought safe-haven assets such as U.S. Treasuries and gold, while reducing exposures to risk-on assets such as lower-rated corporates. Within equity markets, we continued to observe growth-oriented investments outperforming their value-oriented counterparts such as those in the financials and energy sectors."

Multi-Strategy

The Wilshire Liquid Alternative Multi-Strategy IndexSM, which includes both single and multi-manager funds, returned 0.67% in August.

Global Macro

The Wilshire Liquid Alternative Global Macro IndexSM ended the month up 0.64%, underperforming the 0.76% return of the HFRX Macro/CTA Index.

CTAs and discretionary global macro managers contributed 70 and 9 basis points of return, respectively, while currency managers detracted 15 basis points of return.

Bonds, interest rates, and commodities contributed positively to the return, while equity and currency performance was mixed across managers. This was notably a divergence from previous months this year in which performance was driven solely by positive equity performance.

Relative Value

The Wilshire Liquid Alternative Relative Value IndexSM ended the month up 0.29%, outperforming the -0.05% 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 reversed course from the last few months, widening sharply midway through August

Equity Hedge

The Wilshire Liquid Alternative Equity Hedge IndexSM ended the month up 0.35%, underperforming the 0.50% return of the HFRX Equity Hedge Index.

Long-biased and market neutral managers contributed 21 and 9 basis points of return, respectively.

Long-biased strategies benefited from rising equity market, with positive contributions from Information Technology, Healthcare and Utilities sector investments. Meanwhile, managers with exposure to the Energy and Financials sectors underperformed this month.

Event Driven

The Wilshire Liquid Alternative Event Driven IndexSM ended the month down -0.30%, underperforming the 0.08% return of the HFRX Event Driven Index.

Credit strategies were positive, contributing 20 basis points of return, while merger arbitrage strategies ended the month flat.

Managers that were long credit risk underperformed as lower-rated corporate credits lagged for the month.

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