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"While most strategies performed well this month, CTAs were the one strategy that performed poorly, given the significant move in U.S. rates as well as the reversal of the negative U.S. dollar trend," said Jason Schwarz, President of Wilshire Funds Management.

The Wilshire Liquid Alternative Multi-Strategy IndexSM, which includes both single and multi-manager funds, returned 0.30% in September.

The Wilshire Liquid Alternative Global Macro IndexSM, which includes systematic, discretionary, commodity and currency funds, ended September negatively, returning -0.34%, but ended the third quarter positively, returning 0.95%, outperforming both the -1.03% September return and 0.66% quarterly return of the HFRX Macro/CTA Index. Discretionary global macro managers contributed 11 basis points of return, while currency managers contributed 5 basis points. CTAs detracted approximately 50 basis points for the month. As has been the case for most of the year, performance was driven entirely by equities. The equity return was not enough to offset significant losses from currencies and commodities as well as from interest rates. Performance within rates was mixed depending on the speed of the manager's models in systematic CTAs. Discretionary managers have been able to manage the reversals of trends more effectively than their systematic counterparts.

The Wilshire Liquid Alternative Relative Value IndexSM, which includes credit, convertible arbitrage and volatility funds, finished September up 0.16%, underperforming the HFRX Relative Value Arbitrage Index, which returned 0.25%. Third quarter performance was comparable, as the Relative Value Index returned 0.99% versus the HFRX Index, which returned 1.11%. Credit managers contributed over 30 basis points of return this month, while multi-strategy and convertible managers were relatively flat. Volatility strategies were the largest underperformers, and detracted over 10 basis points due to continued low levels of volatility. Investment grade and high yield credit spreads tightened to lows not seen since 2014, while U.S. Treasury yields moved significantly, from 2.12% down to 2.05% before ending the month at 2.34% as the Fed announced they were sticking to their plan of tightening in 2017 and 2018.

The Wilshire Liquid Alternative Equity Hedge IndexSM, which includes long/short equity and market neutral funds, gained 0.99% in September and 2.33% for the third quarter in 2017, underperforming the HFRX Equity Hedge Index by 1.82% and 3.21%, respectively. Long-biased managers contributed 91 basis points of return while market neutral managers added 2 basis points. Long-biased strategies benefited from rising equity markets, with positive contributions from Information Technology and Energy sector investments. Meanwhile, managers with exposure to the Consumer Staples, Utilities, and REITs sectors underperformed this month, while managers focused on European equities notably outperformed. Growth-oriented strategies also continued to materially outperform value-oriented strategies in September.

The Wilshire Liquid Alternative Event Driven IndexSM, which includes credit, merger arbitrage and special situations funds, ended September up 0.49% and returned 0.44% in the third quarter, underperforming the 0.79% monthly and 1.88% quarterly returns of the HFRX Event Driven Index. Credit strategies added 27 basis points of return, merger arbitrage strategies added 10 basis points, and multi strategy event strategists added 18 basis points. Credit risk was rewarded in September as leveraged credits gained amid spread compression, benefiting both special situation equities and lower-rated high yield bonds. Given the rally in oil this month, investments focused on the Energy sector also notably gained.