Liquid Alternatives Industry Monitor Highlights Strong 2019 Returns and Continued Outflows

©2020 Wilshire Associates. For Financial Advisors Only.
Liquid Alternatives
Industry Monitor
4Q 2019
A Summary of Industry Trends and Statistics
from Wilshire Associates Incorporated

©2020 Wilshire Associates. For Financial Advisors Only. 2
• U.S. equity markets sustained their positive performance in Q4 2019, extending their strongest year since 2013. Markets continued to be
propelled by attractive valuations and buying opportunities due to monetary easing by the Federal Reserve. Trade negotiations with China
progressed on the back of a phase one deal, and clarity around Brexit provided investors with short-term visibility into 2020. The S&P 500
Index was up 9.07% for the quarter and 31.49% for the year. The Bloomberg Barclays U.S. Aggregate Bond Index had a muted but positive
return of 0.18% for the quarter and a strong yearly return of 8.72%. The Wilshire Liquid Alternatives Index, HFRI Fund Weighted Composite
Index, and HFRX Global Hedge Fund Index returned 1.55%, 3.48%, and 2.57% for the quarter, and 6.65%, 10.35% and 8.62% for the year,
respectively.
• The best performing Wilshire Liquid Alternative sub-strategy index during the quarter and year was the Wilshire Liquid Alternative Equity
Hedge Index, which ended the fourth quarter up 2.69% and the year up 9.21%.
• The worst performing sub-strategy index during the quarter and year was the Wilshire Liquid Alternative Global Macro Index, which ended
the quarter down -0.47% and the year up 4.34%. The HFRI Macro Index and the HFRX Macro/CTA Index posted quarterly returns of -0.50%
and -0.20%, and yearly returns of 6.16% 4.84%, respectively.
• In 2019, all but one sub-strategy saw net outflows. Equity hedge funds experienced the highest level of outflows at $9.7bn, while global
macro, relative value and multi-strategy funds saw net outflows of $8.2bn, $6.2bn and $1.3bn, respectively. On the other hand, event driven
managers saw net inflows of $0.6bn. This marks the second straight year the liquid alternatives industry has experienced net outflows.
• 2019 saw 21 new liquid alternatives fund launches, 12 reclassifications into the universe, 58 liquidations, 10 acquisitions, one consolidation
and six reclassifications out of the universe.
As investors continue to utilize liquid alternatives in their portfolio construction, Wilshire Associates strives to provide more clarity and
transparency to the broader investment community regarding the evolution and growth of this segment of the industry. Our quarterly and
annual presentations will help provide key highlights and insights into the asset changes and capital flows of this space. The ultimate goal of this
piece is to help deliver to investors the meaningful information necessary to stay updated on key industry activities, major players, and also to
provide investors with Wilshire’s thought framework in understanding and measuring the relative performance of these various strategies to their
peer groups.
U.S. Equities Surge
Q4 2019 LIQUID ALTERNATIVES INDUSTRY MONITOR

Table of Contents
Q4 2019 Overview pgs. 4-12
Index Performance
Quarterly and Yearly Commentary
Universe Overview- 2019 and 2018
Universe Summary- 2019 and 2018
Industry Evolution
Activity Highlights pgs. 13-18
Top 20 Funds- 2019 and 2018
Universe Activity
Capital Flows
Categorization Matrix
Wilshire Liquid Alternatives IndexSM pgs. 19-25
10 Year Returns
10 Year Drawdowns
Index Percentiles
Manager Count
Strategy Weights
Wilshire Manager Coverage Process pgs. 26-28

All returns over one year are annualized unless otherwise noted.
Index returns shown do not represent the results of the actual trading of investable assets. Historical returns are not indicative of future results. It is not possible to invest directly in an index.
Source: HFR, Bloomberg
Performance as of 12/31/2019
WILSHIRE LIQUID
ALTERNATIVE
INDEXSM
HFRI FUND
WEIGHTED
COMPOSITE
INDEX
HFRX GLOBAL
HEDGE FUND
INDEX
S&P 500 INDEX
BLOOMBERG
BARCLAYS U.S.
AGGREGATE
BOND INDEX
WILSHIRE LIQUID
ALTERNATIVE
EQUITY HEDGE
INDEX SM
WILSHIRE LIQUID
ALTERNATIVE
EVENT DRIVEN
INDEX
WILSHIRE LIQUID
ALTERNATIVE
GLOBAL MACRO
INDEXSM
WILSHIRE LIQUID
ALTERNATIVE
MULTI-STRATEGY
INDEXSM
WILSHIRE LIQUID
ALTERNATIVE
RELATIVE VALUE
INDEXSM
Dec. 2019 0.66% 1.81% 1.22% 3.02% -0.07% 0.67% 0.43% -0.09% 0.68% 0.89%
Nov. 2019 0.57% 1.03% 1.03% 3.63% -0.05% 1.29% 0.48% 0.43% 0.66% 0.12%
Oct. 2019 0.31% 0.61% 0.31% 2.17% 0.30% 0.71% 0.37% -0.81% 0.25% 0.38%
Qtr. Return 1.55% 3.48% 2.57% 9.07% 0.18% 2.69% 1.29% -0.47% 1.60% 1.39%
YTD 6.65% 10.35% 8.62% 31.49% 8.72% 9.21% 6.11% 4.34% 6.73% 5.76%
1 Yr. Return 6.65% 10.35% 8.62% 31.49% 8.72% 9.21% 6.11% 4.34% 6.73% 5.76%
3 Yr. Return 2.36% 4.51% 2.41% 15.27% 4.03% 2.79% 3.03% 0.81% 2.82% 2.40%
5 Yr. Return 1.17% 3.54% 1.19% 11.70% 3.05% 1.14% 1.66% -0.53% 1.33% 1.76%
10 Yr. Return 1.94% 4.04% 1.11% 13.56% 3.75% 1.72% 1.94% 0.35% 1.98% 2.91%
Cumulative Return 21.15% 48.58% 11.68% 256.66% 44.45% 18.60% 21.23% 3.59% 21.66% 33.28%
Standard Deviation 2.84% 4.81% 3.99% 12.46% 2.87% 4.23% 2.54% 4.18% 3.71% 2.77%

Q4 2019 Performance Highlights
• The Wilshire Liquid Alternative Equity Hedge IndexSM returned 0.67% and 2.69% in December and the
fourth quarter, respectively. The Index underperformed the HFRX Equity Hedge Index’s monthly return of
1.22%, but outperformed its quarterly return of 2.64%. Long short equity managers generated
consistently positive monthly returns through the quarter as positive geopolitical data out of China and
the U.K. provided some clarity to investors. U.S.-focused strategies outperformed their global peers and
factor-based strategies posted mixed performance as certain factors experienced elevated volatility.
Growth-oriented managers outperformed their value-oriented peers, largely a reversion after significant
losses in September.
• The Wilshire Liquid Alternative Event Driven IndexSM returned 0.43% and 1.29% in December and the
fourth quarter, respectively, underperforming the HFRX Event Driven Index’s monthly and quarterly
returns of 2.03% and 5.45%, respectively. Event driven managers, on the back of geopolitical progress,
benefitted from both the announcement and completion of corporate transactions such as mergers,
restructurings, and buybacks. Corporate activity has remained robust relative to prior years, but after a
significant decline in Q3, global deal activity picked up significantly across the capital stack.
Performance

Q4 2019 Performance Highlights
• The Wilshire Liquid Alternative Global Macro IndexSM returned -0.09% in December and -0.47% for the
fourth quarter, underperforming the 0.30% monthly and -0.21% quarterly returns of the HFRX
Macro/CTA Index. CTAs experienced mixed quarterly results, with bond-driven losses in October
tempered by gains from long equity positions throughout the quarter. Fixed income, commodities, and FX
markets were consistently choppy and range-bound, presenting a difficult market for CTAs outside of
strong uptrends in equities. Discretionary managers also posted mixed results overall, with manager
performance depending on directional exposure to developed equities.
• The Wilshire Liquid Alternative Relative Value IndexSM returned 0.89% in December, trailing the 1.01%
return of the HFRX Relative Value Arbitrage Index. The Index returned 1.39% for the fourth quarter,
underperforming the HFRX counterpart’s quarterly return of 1.64%. Relative value credit managers were
generally positive, primarily lifted by income from structured credit and convertible arbitrage managers,
as well as stable-to-tightening spreads across investment grade and high yield credit.
Performance

2019 Performance Highlights
• Although 2019 was the best calendar return year since 2009 for liquid alternatives, with all five Wilshire Liquid
Alternative sub-strategy indices posting positive returns, liquid alternatives continued to lag traditional indices. The
Wilshire Liquid Alternative Index (WLAI) posted a return of 6.65% for the year, underperforming the Barclays U.S.
Aggregate Bond Index by 207 basis points and the S&P 500 Index, which ended the year up 31.49%. The WLAI also
underperformed the HFRX Global Hedge Fund Index by 197 basis points and the HFRI Fund Weighted Composite Index
by 370 basis points. On a risk-adjusted basis, WLAI’s performance was favorable considering the Index’s historical beta
of ~0.17 to the S&P 500 Index and ~0.48 to the HFRI Fund Weighted Composite Index.
• The best performing sub-strategy index during 2019 was the Wilshire Liquid Alternative Equity Hedge Index, which
finished the year with its highest ever return of 9.21%. Moreover, performance was favorable from a risk-adjusted
perspective, considering the group’s historical beta of ~0.15 to the S&P 500 Index. Growth-oriented managers
outperformed their value-oriented peers and U.S. focused strategies outperformed their global peers in 2019. Factor-
based strategies posted mixed performance as certain factors continued to experience volatility. Although the year
began with much uncertainty regarding U.S. – China relations and Brexit, clarity around both started to materialize in
the fourth quarter. Furthermore, dovish central bank activity provided a robust environment for equity managers
overall.
• The worst performing sub-strategy index during 2019 was the Wilshire Liquid Alternative Global Macro Index, which
ended the year up 4.34%. The Index had its strongest year since 2014 on the back of pronounced trends in equities and
bonds. CTAs struggled in the fourth quarter as trends in fixed income, commodity and FX markets trailed off, only being
offset by a continued uptrend in equity markets.
Performance

Universe Overview (as of 12/31/2019)
LIQUID ALTS
UNIVERSE
EQUITY
HEDGE
GLOBAL
MACRO
RELATIVE
VALUE
EVENT
DRIVEN
MULTI-
STRATEGY
Total number of liquid alternative funds 436 177 62 85 32 80
% of universe (# of funds) 100% 41% 14% 20% 7% 18%
Total assets ($millions) $ 320,484 $ 63,692 $ 26,158 $ 165,157 $ 16,573 $ 48,903
% of universe (assets) 100% 20% 8% 52% 5% 15%
Total number of funds with 3 years 355 148 54 71 25 57
Total 3 year assets ($millions) $ 313,760 $ 61,284 $ 25,718 $ 164,136 $ 16,513 $ 46,111
Total number of funds over $100 million 209 62 32 59 17 39
Funds launched in the last 12 months 18 5 3 5 0 5
Largest Funds by AUM$
FPA Crescent:
$14.0bn
AQR Managed
Futures Strategy:
$4.4bn
BlackRock
Strategic Income
Opps: $33.9bn
BlackRock Event
Driven Equity
Inst: $4.1bn
Blackstone Alt.
Multi-Strategy:
$8.1bn
Gateway:
$8.2bn
Eaton Vance Global
Macro Abs. Rtn:
$3.5bn
Templeton Global
Bond: $26.9bn
Merger Investor:
$3.2bn
Catalyst/Milburn
Hedge Strategy:
$5.4bn
JPMorgan Hedged
Equity R6:
$6.7bn
Eaton Vance Global
Macro Abs Ret
Advantage: $3.1bn
JP Morgan Strategic
Income Opps:
$12.1bn
BlackRock Global
L/S Credit: $2.2bn
JP Morgan Global
Allocation: $3.8bn
Diamond Hill Long-
Short:
$3.5bn
Natixis ASG
Managed Futures
Strategy:
$1.6bn
Calamos Market
Neutral Income A:
$9.0bn
Arbitrage R:
$1.7bn
Goldman Sachs
Absolute Ret Trckr
Instl. : $3.5bn
Boston Partners
Long/Short
Research: $3.0bn
American Beacon
AHL Managed
Futures
$1.0bn
Columbia Strategic
Income: $5.5bn
Carillon Reams
Unconstrained
Bond: $0.9bn
Wells Fargo
Absolutre Return:
$3.3bn

Universe Overview (as of 12/31/2018)
LIQUID ALTS
UNIVERSE
EQUITY
HEDGE
GLOBAL
MACRO
RELATIVE
VALUE
EVENT
DRIVEN
MULTI-
STRATEGY
Total number of liquid alternative funds 478 195 69 85 36 93
% of universe (# of funds) 100% 41% 14% 18% 8% 19%
Total assets ($millions) $ 292,921 $ 69,123 $ 33,068 $ 126,737 $ 15,220 $ 48,773
% of universe (assets) 100% 24% 11% 43% 5% 17%
Total number of funds with 3 years 370 140 57 73 29 71
Total 3 year assets ($millions) $ 284,771 $ 64,525 $ 32,689 $ 125,812 $ 15,129 $ 46,616
Total number of funds over $100 million 203 62 30 51 17 43
Funds launched in the last 12 months 30 11 3 5 3 8
Largest Funds by AUM$
FPA Crescent:
$13.7bn
AQR Managed
Futures Strategy:
$7.1bn
BlackRock
Strategic Income
Opps: $34.0bn
BlackRock Global
L/S Credit:
$3.3bn
Blackstone Alt.
Multi-Strategy:
$6.9bn
Gateway:
$8.1bn
Eaton Vance Global
Macro Abs. Rtn:
$4.2bn
JP Morgan Strategic
Income Opps:
$12.8bn
Merger Investor:
$2.8bn
Catalyst/Milburn
Hedge Strategy:
$4.1bn
Boston Partners
Long/Short
Research: $4.8bn
Eaton Vance Global
Macro Abs Ret
Advantage: $3.2bn
Guggenheim Macro
Opportunities:
$7.2bn
Arbitrage R:
$1.7bn
Wells Fargo
Absolutre Return:
$4.1bn
Diamond Hill Long-
Short:
$3.6bn
Natixis ASG
Managed Futures
Strategy:
$2.1bn
PIMCO All Assets All
Authority: $6.0bn
Carillon Reams
Unconstrained
Bond: $1.2bn
AQR Style Premia
Alternative: $3.3bn
JPMorgan Hedged
Equity R6:
$3.4bn
John Hancock Global
Abs. Rtn. Strategy:
$1.9bn
John Hancock
Strategic Income
Opportunities I:
$5.7bn
BlackRock Event
Driven Equity Inst:
$1.2bn
JP Morgan Global
Allocation: $3.1bn

Source: Morningstar, universe as defined by Wilshire, 12/31/2019.
1 Templeton Global Bond A ($26.9b), Templeton Global Total Return Adv. ($4.6b), Templeton International Bond Adv. ($0.4), and Stone Ridge Hi Yld. Reinsurance Risk Prml ($0.8) were reclassified
into the Liquid Alternatives Universe and categorized as relative value in 3Q 2019.
Universe Summary
2019 LIQUID ALTERNATIVES INDUSTRY MONITOR
New Fund Launches and Closures
• 21 new liquid alternative funds were launched during the year
o 7 equity hedge funds
o 6 relative value funds
o 5 multi-strategy funds
o 3 global macro funds
• 12 funds were reclassified into the universe1
• 10 funds were acquired
• 58 funds were liquidated
• 6 funds were reclassified out of the universe
• 1 fund was consolidated out of the universe
Key Asset Level Changes
(Through Additions, Liquidations, & Organic Growth/Loss)
• $27.6bn increase in assets of the Liquid Alternative Universe
o $38.4bn increase in relative value1
o $1.4bn increase in event driven
o $0.1bn increase in multi-strategy
o $6.9bn decrease in global macro
o $5.4bn decrease in equity hedge
20%
8%
52%
5%
15%
MARKET SHARE BY STRATEGY 2019
24%
11%
43%
5%
17%
MARKET SHARE BY STRATEGY 2018
Equity Hedge
Global Macro
Relative Value
Event Driven
Multi-Strategy

Source: Morningstar, universe as defined by Wilshire, 12/31/2019.
Universe Summary
New Fund Launches and Closures
• 3 new liquid alternative funds were launched during the quarter
o 1 equity hedge
o 1 global macro
o 1 relative value
• 2 funds were reclassified into the universe
• 1 fund was acquired
• 15 funds were liquidated
• 2 funds were reclassified out of the universe
Key Asset Level Changes
(Through Additions, Liquidations, & Organic Growth/Loss)
• $0.9bn decrease in assets of the Liquid Alternative Universe
o $1.0bn increase in equity hedge
o $0.8bn increase in multi-strategy
o $0.6bn increase in event driven
o $1.2bn decrease in global macro
o $2.1bn decrease in relative value
20%
8%
52%
5%
15%
MARKET SHARE BY STRATEGY Q4 2019
20%
9%
52%
5%
15%
MARKET SHARE BY STRATEGY Q3 2019
Equity Hedge
Global Macro
Relative Value
Event Driven
Multi-Strategy

Universe Activity Commentary
The liquid alternative universe saw a decrease
in fund count during Q4 2019, continuing the
trend we saw throughout 2019. Three new
funds were launched in Q4 and two were
reclassified into the liquid alternatives
universe. Of the 15 fund liquidations, seven
were equity hedge, four were relative value,
two were multi-strategy, and two were global
macro. Of the two reclassifications out of the
universe, one was equity hedge and one was
relative value. One equity hedge fund was
acquired.
Liquid alternative universe assets decreased
by $0.9bn in Q4 2019. New entrants
(comprised of new fund launches and pre-
existing funds that were reclassified as liquid
alternative during the quarter) brought in
$0.8bn, while liquidations, acquisitions, and
reclassifications out of the universe created
outflows of $1.2bn. Net capital outflows from
the universe totaled $5.3bn. Performance
gains increased AUM by $4.8bn.
Source: Morningstar, universe as defined by Wilshire
Universe Fund Count and AUM
0
100
200
300
400
500
600
$-
$50,000
$100,000
$150,000
$200,000
$250,000
$300,000
$350,000
$400,000
Sep-13
Dec-13
Mar-14
Jun-14
Sep-14
Dec-14
Mar-15
Jun-15
Sep-15
Dec-15
Mar-16
Jun-16
Sep-16
Dec-16
Mar-17
Jun-17
Sep-17
Dec-17
Mar-18
Jun-18
Sep-18
Dec-18
Mar-19
Jun-19
Sep-19
Dec-19
WILSHIRE UNIVERSE TRENDS ON FUND COUNT AND AUM
Universe AUM ($ Millions) Total Number Liquid Alt Funds

Activity Highlights

TOP 20 BY AUM Q4 2019 Q4 2019 AUM Q3 2019 AUM CHANGE Q4 2019 RANKING Q3 2019 RANKING
BlackRock Strategic Income Opps Instl Relative Value $33.9bn $33.3bn $0.6bn 1 1
Templeton Global Bond A Relative Value $26.9bn $30.0bn -$3.1bn 2 2
FPA Crescent Equity Hedge $14.0bn $13.8bn $0.2bn 3 3
JPMorgan Strategic Income Opports R5 Relative Value $12.1bn $12.5bn -$0.5bn 4 4
Calamos Market Neutral Income A Relative Value $9.0bn $8.5bn $0.5bn 5 5
Gateway A Equity Hedge $8.2bn $8.0bn $0.1bn 6 7
Blackstone Alternative Multi-Strategy I Multi-Strategy $8.1bn $8.0bn $0.1bn 7 6
JPMorgan Hedged Equity R6 Equity Hedge $6.7bn $5.8bn $0.9bn 8 9
Columbia Strategic Income A Relative Value $5.5bn $5.1bn $0.4bn 9 12
Guggenheim Macro Opportunities Instl Relative Value $5.4bn $6.3bn -$0.9bn 10 8
JHancock Strategic Income Opps I Relative Value $5.4bn $5.4bn $0.0bn 11 11
Catalyst/Millburn Hedge Strategy A Multi-Strategy $5.4bn $5.0bn $0.4bn 12 13
Navigator Tactical Fixed Income I Relative Value $5.2bn $4.8bn $0.4bn 13 16
PIMCO All Asset All Authority Inst Relative Value $4.7bn $5.0bn -$0.3bn 14 14
T. Rowe Price Dynamic Global Bond Inv Relative Value $4.6bn $4.3bn $0.3bn 15 17
Templeton Global Total Return Adv Relative Value $4.6bn $5.4bn -$0.8bn 16 10
Putnam Diversified Income A Relative Value $4.5bn $4.3bn $0.2bn 17 18
AQR Managed Futures Strategy N Global Macro $4.4bn $4.9bn -$0.5bn 18 15
BlackRock Event Driven Equity Instl Event Driven $4.1bn $3.3bn $0.8bn 19 N/A
PIMCO Dynamic Bond Instl Relative Value $4.1bn $3.9bn $0.2bn 20 19
Source: Morningstar, Universe as defined by Wilshire, 12/31/2019
Universe Top 20 –
Assets Under Management

TOP 5 LARGEST DECREASES IN AUM Q4 2019 Q3 2019 CHANGE* STRATEGY
Templeton Global Bond A $26.9bn $30.0bn -$3.1bn Relative Value
Guggenheim Macro Opportunities Instl $5.4bn $6.3bn -$0.9bn Relative Value
Templeton Global Total Return Adv $4.6bn $5.4bn -$0.8bn Relative Value
AQR Managed Futures Strategy N $4.4bn $4.9bn -$0.5bn Global Macro
JPMorgan Strategic Income Opports R5 $12.1bn $12.5bn -$0.5bn Relative Value
TOP 5 LARGEST INCREASES IN AUM Q4 2019 Q3 2019 CHANGE* STRATEGY
JPMorgan Hedged Equity R6 $6.7bn $5.8bn $0.9bn Equity Hedge
BlackRock Event Driven Equity Instl $4.1bn $3.3bn $0.8bn Event Driven
BlackRock Strategic Income Opps Instl $33.9bn $33.3bn $0.6bn Relative Value
Calamos Market Neutral Income A $9.0bn $8.5bn $0.5bn Relative Value
Goldman Sachs Absolute Ret Trckr Instl $3.5bn $3.1bn $0.5bn Multi-Strategy
*Change includes net flows and organic growth/loss
Universe Activity – Largest AUM Changes

TOP 5 FUNDS BY OUTFLOWS NET INFLOWS STRATEGY
Templeton Global Bond A -$3.4bn Relative Value
Guggenheim Macro Opportunities Instl -$0.9bn Relative Value
Templeton Global Total Return Adv -$0.9bn Relative Value
JPMorgan Strategic Income Opports R5 -$0.5bn Relative Value
FPA Crescent -$0.5bn Equity Hedge
TOP 5 FUNDS BY INFLOWS NET INFLOWS STRATEGY
BlackRock Event Driven Equity Instl $0.8bn Event Driven
JPMorgan Hedged Equity R6 $0.6bn Equity Hedge
Goldman Sachs Absolute Ret Trckr Instl $0.5bn Multi-Strategy
Voya Strategic Income Opportunities I $0.4bn Relative Value
Calamos Market Neutral Income A $0.4bn Relative Value
Universe Activity – 4Q 2019 Fund Flows

©2020 Wilshire Associates. For Financial Advisors Only. 17©2020 Wilshire Associates. For Financial Advisors Only.
Fund Flows During Q4 2019
There were approximately $5.3bn
in net outflows from the liquid
alternatives universe:
• $2.9bn net outflows from
relative value funds
global macro funds
equity hedge funds
• $0.4bn net inflows to
multi-strategy funds
• $0.5bn net inflows to
event driven funds
• The liquid alternatives universe saw its seventh
consecutive quarter of net outflows, with three of
the five sub-strategies experiencing net outflows
in Q4.
• BlackRock Event Driven Equity saw net inflows of
$0.8bn in Q4, with JPMorgan Hedged Equity,
Goldman Sachs Absolute Return, Voya Strategic
Income Opportunities, and Calamos Market
Neutral Income also seeing inflows of $0.6bn,
$0.5bn, $0.4bn and $0.4bn, respectively.
• Templeton Global Bond experienced the largest
outflow of $3.4bn in Q4. Guggenheim Macro
Opportunities, Templeton Global Total Return
Advantage, JPMorgan Strategic Income
Opportunities, and FPA Crescent also experienced
net outflows of $0.9bn, $0.9bn, $0.5bn and
$0.5bn, respectively.
Capital Flows
LIQUID ALTERNATIVES FUNDS

Wilshire Liquid Alternatives IndexSM

Past performance is not indicative of future return.
10 Year Returns
Wilshire Liquid Alternatives Index SM
$900
$1,000
$1,100
$1,200
$1,300
$1,400
$1,500
GROWTH OF $1000 1/31/2010 – 12/31/2019
Wilshire Liquid Alternative Broad-Based Index HFRI Fund Weighted Composite Index HFRX Global Hedge Fund Index

Past performance is not indicative of future return.
10 Year Drawdowns
Wilshire Liquid Alternatives Index SM
-12.0%
-10.0%
-8.0%
-6.0%
-4.0%
-2.0%
0.0%
DRAWDOWN 1/31/2010 - 12/31/2019
Wilshire Liquid Alternative Broad-Based Index HFRI Fund Weighted Composite Index HFRX Global Hedge Fund Index

1 Year
Beta*
PERCENTILES* EQUITY HEDGE EVENT DRIVEN GLOBAL MACRO MULTI-STRAT RELATIVE VALUE
High 3.6 1.7 17.4 38.7 15.1
5th
2.2 1.5 3.3 4.5 4.2
25th
1.5 0.5 2.1 1.2 1.3
Median 1.1 0.2 1.0 0.8 0.8
75th
0.6 0.1 0.1 0.5 0.0
95th
-0.4 0.0 -25.4 -7.3 -0.7
Low -16.5 -0.2 -65.3 -25.4 -13.6
Peer Count 162 33 63 78 91
1 Year
Std. Dev.
PERCENTILES EQUITY HEDGE EVENT DRIVEN GLOBAL MACRO MULTI-STRAT RELATIVE VALUE
High 24.6 14.1 24.0 22.6 38.6
5th
16.4 11.3 17.1 12.3 6.9
25th
10.7 4.4 11.1 5.8 3.3
Median 7.9 2.2 8.0 4.3 2.3
75th
6.2 1.7 4.8 3.5 1.6
95th
3.6 1.4 2.6 2.3 1.0
Low 1.4 1.2 2.2 1.1 0.6
1 Year
Return
High 38.2 19.5 28.8 29.3 20.9
5th
25.7 14.9 18.0 21.6 14.5
25th
17.2 8.1 9.4 11.7 8.4
Median 12.0 6.3 5.2 7.8 6.8
75th
4.2 4.7 1.7 5.0 4.8
95th
-9.1 3.7 -5.1 -4.2 -0.5
Low -25.8 2.5 -9.0 -10.0 -53.3
*Note: The peer groups’ beta percentiles are with respect to their sub-strategy indices
Source: Morningstar, 12/31/2019
One Year Index Percentiles by Strategy
(as of 12/31/2019)

3 Year
Beta*
PERCENTILES* EQUITY HEDGE EVENT DRIVEN GLOBAL MACRO MULTI-STRAT RELATIVE VALUE
High 2.8 1.8 24.3 24.2 9.1
5th
1.9 1.6 4.4 7.9 2.6
25th
1.3 0.5 2.1 1.5 1.2
Median 1.1 0.2 1.1 0.8 0.8
75th
0.6 0.1 0.3 0.7 0.4
95th
-0.1 0.0 -0.3 -0.2 -0.4
Low -2.5 0.0 -14.7 -8.8 -14.1
Peer Count 152 26 61 67 88
3 Year
Std. Dev.
High 21.4 13.7 26.0 17.6 34.3
5th
13.8 12.4 15.0 10.2 6.6
25th
9.7 4.2 9.8 6.1 3.3
Median 8.1 3.1 8.0 4.1 2.4
75th
6.6 2.2 5.0 3.4 1.6
95th
4.2 1.6 3.8 2.7 1.0
Low 1.4 1.5 2.3 2.6 0.8
3 Year
Return
High 14.7 8.4 22.3 14.8 9.7
5th
12.9 7.4 8.5 9.4 6.6
25th
7.7 6.1 3.2 5.6 4.8
Median 5.1 3.1 2.1 3.2 4.0
75th
2.5 2.7 0.4 1.3 2.8
95th
-4.2 0.7 -3.3 -5.0 0.7
Low -14.0 -0.4 -5.0 -7.1 -36.3
*Note: The peer groups’ beta percentiles are with respect to their sub-strategy indices.
Source: Morningstar, 12/31/2019
Three Year Index Percentiles by Strategy
(as of 12/31/2019)

Note: Index constituent count is based on Wilshire Associates bi-annual reconstitution.
Source: Wilshire Associates, 12/31/2019
Constituent Count
0
100
200
300
400
500
600
Dec-99
May-00
Oct-00
Mar-01
Aug-01
Jan-02
Jun-02
Nov-02
Apr-03
Sep-03
Feb-04
Jul-04
Dec-04
May-05
Oct-05
Mar-06
Aug-06
Jan-07
Jun-07
Nov-07
Apr-08
Sep-08
Feb-09
Jul-09
Dec-09
May-10
Oct-10
Mar-11
Aug-11
Jan-12
Jun-12
Nov-12
Apr-13
Sep-13
Feb-14
Jul-14
Dec-14
May-15
Oct-15
Mar-16
Aug-16
Jan-17
Jun-17
Nov-17
Apr-18
Sep-18
Feb-19
Jul-19
Dec-19
NumberofConstituents
Equity Hedge Event Driven Global Macro Multi-Strategy Relative Value

Note: Weightings are based on Wilshire Associates bi-annual reconstitution.
Source: Wilshire Associates, 12/31/2019
Sub-Strategy Weights
0%
10%
20%
30%
40%
50%
60%
70%
80%
90%
100%
Dec-99
May-00
Oct-00
Mar-01
Aug-01
Jan-02
Jun-02
Nov-02
Apr-03
Sep-03
Feb-04
Jul-04
Dec-04
May-05
Oct-05
Mar-06
Aug-06
Jan-07
Jun-07
Nov-07
Apr-08
Sep-08
Feb-09
Jul-09
Dec-09
May-10
Oct-10
Mar-11
Aug-11
Jan-12
Jun-12
Nov-12
Apr-13
Sep-13
Feb-14
Jul-14
Dec-14
May-15
Oct-15
Mar-16
Aug-16
Jan-17
Jun-17
Nov-17
Apr-18
Sep-18
Feb-19
Jul-19
Dec-19
Equity Hedge Event Driven Global Macro Multi-Strategy Relative Value

Wilshire Manager Coverage Process

Manager Coverage Process
Wilshire’s Research Coverage Model
Wilshire’s Alternatives team actively covers
approximately 30 liquid alternative strategies
• Wilshire’s manager coverage represents 40%
of industry assets
Coverage is driven by the following criteria:
• Industry: Top 10 by AUM
• PM Team: Wilshire portfolios
• Research Team: focus lists
TOP 10
BY AUM
WILSHIRE
PORTFOLIOS
FOCUS
LISTS
Our criteria overlap provides significant ownership of
the broader liquid alternatives universe

For additional information
please contact:
Email: managedportfolios@wilshire.com
Office: 855.626.8281
Wilshire Associates Incorporated
1299 Ocean Avenue, Suite 700
Santa Monica, CA 90401
Contact Us

Wilshire is a global financial services firm providing diverse services to various types of investors and intermediaries. Wilshire’s products, services, investment approach and
advice may differ between clients and all of Wilshire’s products and services may not be available to all clients. For more information regarding Wilshire’s services, please see
Wilshire’s ADV Part 2 available at www.Wilshire.com/ADV.
This material represents the current opinion of Wilshire Associates Incorporated (‘Wilshire’) and is based on sources believed to be reliable. Information and opinions are as of
the date indicated, and are subject to change without notice. Wilshire shall not be liable (including for indirect, consequential, or incidental damages) for any error, omission,
or inaccuracy of the information contained herein or for results obtained from its use.
The Wilshire Indexes are calculated and distributed by Wilshire. The indices do not represent an investment. It is not possible to invest directly in an index. Exposure to an
asset class represented by an index may be available through investable instruments derived from that index. Wilshire makes no representations regarding the advisability of
investing in investment products based on the Wilshire Indexes that are not sponsored, endorsed, sold or promoted by Wilshire. Index returns do not reflect payment of
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imposition of these fees and charges would cause actual performance of the securities/vehicles to be lower than the Indices performance shown. Inclusion of a company in the
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