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The Wilshire Liquid Alternative Index family aims to deliver precise market measures for the performance of diversified liquid alternative investment strategies implemented through mutual fund structures, backed by a proprietary classification methodology.

"Markets continued to rally in August as optimism surrounding the rapid development of a COVID-19 vaccine helped drive markets to historic highs," said Jason Schwarz, Chief Operating Officer of Wilshire Associates.

• The Wilshire Liquid Alternative Multi-Strategy Index, which includes both single and multi-manager funds, returned 1.11% in August.

• The Wilshire Liquid Alternative Equity Hedge Index ended the month up 2.51%, underperforming the HFRX Equity Hedge Index's return of 2.71%.

- Equity markets reached all-time highs in August, driven by optimism around the development of a COVID-19 vaccine and a potential agreement on another fiscal stimulus package in the U.S.

- Technology stocks outperformed, allowing growth-oriented managers to continue to outperform their value counterparts.

• The Wilshire Liquid Alternatives Event Driven Index ended the month up 0.79%, underperforming the HFRX Event Driven Index's monthly return of 1.63%.

- Special situation strategies with exposure to global and Asian fundamental value equities with catalyst events performed well throughout the month of August.

- Merger spreads remained relatively unchanged in August, with managers posting moderately positive returns. Large and mid-cap deals primarily drove positive performance.

• The Wilshire Liquid Alternative Global Macro IndexSM ended the month up 0.37%, inline with the HFRX Macro/CTA Index's monthly return of 0.36%.

- Macro managers, particularly trend-following CTAs, experienced muted returns for the month as gains from continued equity growth were offset by sharp reversals in bonds and precious metals.

• The Wilshire Liquid Alternative Relative Value IndexSM ended the month up 0.58%, underperforming the HFRX Relative Value Arbitrage Index's monthly return of 1.08%.

- Relative value convertible arbitrage managers continued to outperform, with gains coming from new issues as well as corporate activity involving buybacks, and REITs with tech sector convertibles.

- August was a positive month for relative value structured credit managers as spreads continued to tighten and drive performance. Home sale data provided a positive boost to structured credit markets as well.

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