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Wilshire Liquid Alternative Index gains 0.3% in October

Wednesday, November 13, 2019
Opalesque Industry Update - The Wilshire Liquid Alternative IndexSM, which provides a representative baseline for how the broad liquid alternative investment category performs, returned 0.31% in October, in line with the 0.31% 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, and Wilshire Analytics, creator of the Wilshire 5000 Total Market IndexSM.

"October was a positive month for risk assets, with equities drifting higher on the back of softening geopolitical tensions and supportive central bank policy," said Jason Schwarz, President of Wilshire Funds Management and Wilshire Analytics.


· The Wilshire Liquid Alternative Multi-Strategy IndexSM, which includes both single and multi-manager funds, returned 0.25% in October.

Global Macro

· The Wilshire Liquid Alternative Global Macro IndexSM ended the month down -0.81%, outperforming the -1.40% return of the HFRX Macro/CTA Index.

CTAs struggled throughout the month, with losses primarily driven by the decline in fixed income and several reversals in commodity markets. Discretionary global macro managers posted mixed performance for the month. Defensively positioned managers struggled as safe haven assets declined, while some managers found trading opportunities around geopolitical developments.

Relative Value

· The Wilshire Liquid Alternative Relative Value IndexSM ended the month up 0.38%, outperforming the 0.32% return of the HFRX Relative Value Arbitrage Index.

Credit-focused managers posted mixed results, with structured credit gains coming primarily from carry, corporate credit, and declining government bonds.

Equity Hedge

· The Wilshire Liquid Alternative Equity Hedge IndexSM ended the month up 0.71%, outperforming the HFRX Equity Hedge Index which returned 0.52%.

Gains for the month were predominantly driven by Health Care and Information Technology sector exposures, as appetite for risk picked up following a difficult third quarter for these sectors.

Losses were predominantly driven by cyclically-biased strategies, particularly managers with significant exposure to commodities.

Event Driven

· The Wilshire Liquid Alternative Event Driven IndexSM ended the month up 0.37%, underperforming the 1.25% return of the HFRX Event Driven Index.

Merger arbitrage strategies posted modest gains during the month as the upcoming election cycle hastened the need and desire to complete existing deals.

Special situations strategies continued their streak of positive monthly performance as idiosyncratic and non-market driven risk exposures across the capital structure fared well.

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