Wilshire Liquid Alternative Index℠ Falls -1.03% in September

SANTA MONICA, Calif.--(BUSINESS WIRE)-- The Wilshire Liquid Alternative Index℠, which provides a representative baseline for how the broad liquid alternative investment category performs, returned -1.03% in September, according to Wilshire Funds Management (“WFM”), the global investment management business unit of Wilshire Associates. The Wilshire Liquid Alternative Index family is a joint offering between WFM and Wilshire Analytics, creator of the Wilshire 5000 Total Market Index℠. The Wilshire Liquid Alternative Multi-Strategy Index℠, which includes both single and multi-manager funds, ended the month down -1.04%.

“Liquid alternatives significantly outpaced the broader equity and fixed income markets in September, with the Wilshire Liquid Alternative Index returning -1.03% for the month while the Wilshire 5000 Total Market Index declined -2.71% and the Barclays Capital Aggregate Bond Index returned 0.68%. Liquid alternatives also outperformed their hedge fund peers in September, as the HFRX Global Hedge Fund Index fell -2.07%. All five liquid alternative sub-strategies outperformed their hedge fund counterpart for the month, led by event driven liquid alternative funds,” said Jason Schwarz, president of Wilshire Funds Management.

The Wilshire Liquid Alternative Event Driven Index℠, which includes credit, merger arbitrage and special situations funds, ended the month down -1.47%, outpacing the HFRX Event Driven Index, which was down -3.24%, by over 175 basis points. The overweight exposure to merger arbitrage deals that mutual funds tend to have versus their hedge fund peers once again paid off as many of the gains this month came from merger deals while many of the losses came from investments in the distressed and special situations spaces.

The Wilshire Liquid Alternative Global Macro Index℠, which includes systematic, discretionary, commodity and currency funds, ended September down -0.07%, 48 basis points above the HFRX Macro/CTA Index’s -0.55% loss. The majority of systematic CTA managers posted positive returns, while almost every discretionary manager was negative for the month. Systematic managers benefited from the sharp decline in fixed income yields, as well as the continued downward movement of commodity prices. Continuing the trend from last month, we saw a 5% spread between the best and worst performing discretionary managers, and a 10% spread between the best and worst performing CTA managers.

Index Name				IndexClose				Total Return % Change
								MTD				QTD				YTD				1-Year				3-Year				5-Year
Wilshire Liquid Alternative℠				156.70				-1.03				-2.37				-2.43				-2.51				1.29				1.71
Wilshire Liquid Alternative Equity Hedge℠				150.78				-1.24				-3.23				-4.38				-2.99				1.85				1.36
Wilshire Liquid Alternative Event Driven℠				174.49				-1.47				-2.61				-1.84				-3.38				0.46				1.25
Wilshire Liquid Alternative Global Macro℠				109.40				-0.07				-0.76				-1.25				1.3				2.01				1.02
Wilshire Liquid Alternative Multi-Strategy℠				153.49				-1.04				-2.7				-1.95				-2.68				1.47				1.7
Wilshire Liquid Alternative Relative Value℠				174.31				-1.09				-2.14				-1.94				-3.06				0.91				2.4
Wilshire Focused Liquid Alternative℠				109.81				-1.09				-2.19				-1.85				-1.93				1.02				1.6
As of 9/30/15

Equity hedge strategies posted another negative month, with all underlying sectors except Utilities and Consumer Staples posting negative returns. The largest detractors were the Materials, Energy and Health Care sectors, down -7.36%, -6.67% and -5.67%, respectively. The Wilshire Liquid Alternative Equity Hedge Index℠, which includes long/short equity and market neutral funds, was down -1.24% for the month, outperforming the HFRX Equity Hedge Index, which was down -2.08%, by over 80 basis points. This outperformance can be attributed to the fact that alternative mutual funds tend to have less exposure to international and emerging markets and more of a focus on U.S. equity markets.

The Wilshire Liquid Alternative Relative Value Index℠, which includes credit, convertible arbitrage and volatility funds, finished the month down -1.09%, outperforming the HFRX Relative Value Arbitrage Index by nearly 100 basis points. High yield credit spreads widened for the second month in a row, resulting in losses for the majority of relative value managers. Volatility managers within the relative value space performed positively, with an average return of approximately 0.50%.

About Wilshire Associates

Wilshire Associates, a leading global, independent investment consulting and services firm, provides consulting services, analytics solutions and customized investment products to plan sponsors, investment managers and financial intermediaries. Its business units include, Wilshire Analytics, Wilshire Consulting, Wilshire Funds Management and Wilshire Private Markets.

The firm was founded in 1972, providing revolutionary technology and acting as an early innovator in the application of investment analytics and research to investment managers in the institutional marketplace. Wilshire also is credited with helping to develop the field of quantitative investment analysis that uses mathematical tools to analyze market risks. All other business units evolved from Wilshire’s strong analytics foundation. Wilshire developed the Wilshire 5000 Total Market Index and became an early innovator in creating integrated asset/liability analysis/simulation models as well as practical models in risk budgeting through beta and active risk analysis. Wilshire has grown to a firm of more than 300 employees serving the needs of investors around the world.

Based in Santa Monica, California, Wilshire provides services to clients in more than 20 countries representing more than 500 organizations with assets totaling approximately US $8 trillion.* With eleven offices on four continents, Wilshire Associates and its affiliates are dedicated to providing clients with the highest quality counsel, products and services. Wilshire® and Wilshire 5000® are registered service marks of Wilshire Associates Incorporated. Wilshire 5000 Total Market Index℠ is a service mark of Wilshire Associates Incorporated.

Please visit www.wilshire.com for more information.

Twitter: @WilshireAssoc

*Client assets are as represented by Pensions and Investments, detailed in P&I’s “Largest Retirement Funds” and P&I’s “Largest Money Managers (U.S. institutional tax-exempt assets)” as of 9/30/14 and 12/31/14, and published 2/9/15 and 5/18/15, respectively).

View source version on businesswire.com: http://www.businesswire.com/news/home/20151013005684/en/

For Wilshire Funds Management
Evan Pondel, +1-310-279-5973
[email protected]

Source: Wilshire Funds Management

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