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Wilshire Liquid Alternative Index up 0.32% in November

Friday, December 15, 2017
Opalesque Industry Update - The Wilshire Liquid Alternative IndexSM, which provides a representative baseline for how the broad liquid alternative investment category performs, returned 0.32% in November, outperforming the 0.07% 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 IndexSM.

"Long-biased strategies outperformed in November, benefitting from strong equity markets, with notable performance from the Telecommunications Services, Consumer Staples, Consumer Discretionary, and Financials sectors. Value-oriented strategies outperformed growth oriented strategies, and domestic equity strategies outperformed managers focused on emerging and European markets," said Jason Schwarz, President of Wilshire Funds Management and Wilshire Analytics.

Multi-Strategy

  • The Wilshire Liquid Alternative Multi-Strategy IndexSM, which includes both single and multi-manager funds, returned 0.44% in November.
Global Macro

  • The Wilshire Liquid Alternative Global Macro IndexSM ended the month up 0.38% outperforming the -0.15% return of the HFRX Macro/CTA Index.
  • CTAs, discretionary macro managers and currency managers all contributed positively this month, with the largest contribution coming from CTAs.
  • U.S. equities were the sole consistent outperformer across managers, while all other asset classes and geographies had mixed performance depending on the length of managers' signals.

Relative Value

  • The Wilshire Liquid Alternative Relative Value IndexSM ended the month down -0.06%, outperforming the -0.25% return of the HFRX Relative Value Arbitrage Index.
  • Credit and multi-strategy managers contributed 7 basis points and 6 basis points, respectively, while convertible arbitrage strategies also contributed positively for the month.
  • Volatility strategies detracted significantly this month as volatility continued to be subdued.
  • Investment grade and high yield credit spreads remained relatively flat, while U.S. Treasury yields widened slightly from 2.38% to 2.41%.

Equity Hedge

  • The Wilshire Liquid Alternative Equity Hedge IndexSM ended the month up 0.97%, outperforming the 0.87% return of the HFRX Equity Hedge Index.
  • Long-biased managers contributed 92 basis points of return.
  • Rising equity markets benefited long-biased strategies, with broad-based contributions from the Telecommunications Services, Consumer Staples, Consumer Discretionary and Financials sectors.
  • Domestic equity managers outperformed managers focused on emerging and European markets.
  • Value-oriented strategies outperformed growth-focused equity strategies.

Event Driven

  • The Wilshire Liquid Alternative Event Driven IndexSM ended the month down -0.48%, underperforming the -0.35% return of the HFRX Event Driven Index.
  • Credit strategies detracted 12 basis points of return, merger arbitrage strategies detracted 33 basis points, and multi-strategy event funds detracted 6 basis points this month.
  • Special situation equities and merger arbitrage strategies experienced losses in November as several larger transactions experienced hostile bidders as well as regulatory concerns.

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