Wilshire Liquid Alternative Index℠ Gains 1.09% in October

-- Wilshire Liquid Alternative Equity Hedge IndexSM Posts Second Highest Monthly Gain Since Recession --

SANTA MONICA, Calif.--(BUSINESS WIRE)-- Wilshire Funds Management (“WFM”), the global investment management business unit of Wilshire Associates Incorporated, today announced the Wilshire Liquid Alternative IndexSM, which provides a representative baseline for how the broad liquid alternative investment category performs, returned 1.09% in October. The Wilshire Liquid Alternative Index family is a joint offering between WFM and Wilshire Analytics, creator of the Wilshire 5000 Total Market IndexSM.

The Wilshire Liquid Alternative Multi-Strategy IndexSM, which includes both single and multi-manager funds, ended the month up 1.33%. Following a 10% loss over the last two months, the Wilshire 5000 Total Market IndexSM rebounded sharply in October, posting an 8% gain. After a weaker than expected September jobs report was released at the beginning of the month, equities rallied to have their best month in six years.

The Wilshire Liquid Alternative Global Macro IndexSM, which includes systematic, discretionary, commodity and currency funds, ended October down -0.41%, 53 basis points above the HFRX Macro/CTA Index’s -0.94% loss. “The majority of systematic CTA managers posted negative returns due to the sharp reversal in trends from previous months, while almost every discretionary manager was positive for the month,” said Jason Schwarz, president of Wilshire Funds Management. “We continue to see significant dispersion in the global macro space between the best and worst performing managers, which enforces the need for skillful manager due diligence in the liquid alternatives space.”

Index Name			IndexClose		Total Return % Change as of 10/30/15
					MTD		QTD		YTD		1-Year		3-Year		5-Year
Wilshire Liquid AlternativeSM			158.41		1.09		1.09		-1.37		-1.65		1.72		1.77
Wilshire Liquid Alternative Equity HedgeSM			153.73		1.96		1.96		-2.50		-2.18		2.58		1.66
Wilshire Liquid Alternative Event DrivenSM			176.27		1.02		1.02		-0.83		-1.76		0.94		1.34
Wilshire Liquid Alternative Global MacroSM			108.95		-0.41		-0.41		-1.65		0.50		2.42		0.67
Wilshire Liquid Alternative Multi-StrategySM			155.53		1.33		1.33		-0.65		-1.26		2.03		1.69
Wilshire Liquid Alternative Relative ValueSM			175.92		0.92		0.92		-1.03		-2.02		1.07		2.40
Wilshire Focused Liquid AlternativeSM			110.96		1.05		1.05		-0.83		-0.87		1.48		1.68

Equity hedge strategies posted positive monthly performance, with all underlying sectors delivering positive returns. The Wilshire Liquid Alternative Equity Hedge IndexSM, which includes long/short equity and market neutral funds, was up 1.96% for the month, slightly outperforming the HFRX Equity Hedge Index, which was up 1.90%. October’s positive performance was the second highest monthly performance for the Wilshire Liquid Alternative Equity Hedge IndexSM since emerging from the Great Recession of 2008.

The Wilshire Liquid Alternative Event Driven IndexSM, which includes credit, merger arbitrage and special situations funds, generated a positive return of 1.02%, underperforming the HFRX Event Driven Index, which was up 2.23%, by 121 basis points. The overweight exposure to merger arbitrage deals that mutual funds tend to have versus their hedge fund peers dampened their participation in the equity market rally. The Wilshire Liquid Alternative Relative Value Index, which includes credit, convertible arbitrage and volatility funds, finished the month up 0.92%, nearly 100 basis points below the 1.91% return of the HFRX Relative Value Arbitrage Index. High yield credit spreads tightened in October, which resulted in gains for the majority of relative value managers, though hedge funds benefitted more than their liquid alternative peers.

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 approximately 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 ten offices worldwide, 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/20151116005573/en/

Wilshire Associates
Evan Pondel, +1-310-279-5973
[email protected]

Source: Wilshire Associates

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