The quarterly Wilshire Funds Management Liquid Alternatives Industry Monitor provides highlights and insights into the trends and capital flows of the liquid alternatives space.
Liquid Alternatives Industry Experiences Volatility Amid Market Declines in Q1 2020
1. Š2020 Wilshire Associates. For Financial Advisors Only.
Liquid Alternatives
Industry Monitor
1Q 2020
A Summary of Industry Trends and Statistics
from Wilshire Associates Incorporated
2. Š2020 Wilshire Associates. For Financial Advisors Only. 2
⢠Financial markets experienced extreme volatility as markets, governments, and global policy makers grappled with a global pandemic, as
well as a supply/demand shock in oil. The S&P 500 Index was down -19.60% for the quarter as volatility spiked to levels last seen during
the Global Financial Crisis. The Bloomberg Barclays U.S. Aggregate Bond Index posted a positive return of 3.15% for the quarter. The
Wilshire Liquid Alternatives Index, HFRI Fund Weighted Composite Index, and HFRX Global Hedge Fund Index returned -8.48%, -9.39%,
and -6.85% for the quarter, respectively.
⢠The best performing Wilshire Liquid Alternative sub-strategy index during the quarter was the Wilshire Liquid Alternative Global Macro
Index, which ended the first quarter down -0.79%. The HFRI Macro Index and HFRX Macro/CTA Index posted quarterly returns of 0.07%
and -1.18%, respectively.
⢠The worst performing sub-strategy index during the quarter and year was the Wilshire Liquid Alternative Equity Hedge Index, which
ended the quarter down -12.21%. The HFRI Equity Hedge Index and the HFRX Equity Hedge Index posted quarterly returns of -12.93%
and -13.33%, respectively.
⢠During the quarter, all sub-strategies saw net outflows. Relative value funds experienced the highest level of outflows at $13.6bn, while
equity hedge, multi-strategy, global macro and event driven funds saw net outflows of $4.1bn, $2.0bn, $1.5bn and $0.4bn, respectively.
This marks the eighth consecutive quarter the liquid alternatives industry has experienced net outflows.
⢠Fund count fell by 11 in Q1 2020, with one new liquid alternative fund launch, 11 liquidations, and one acquisition 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 Wilshireâs thought framework in understanding and measuring the relative performance of these various
strategies to their peer groups.
Markets Decline as COVID-19 Spreads
Q1 2020 LIQUID ALTERNATIVES INDUSTRY MONITOR
3. Š2020 Wilshire Associates. For Financial Advisors Only. 3
Table of Contents
Q1 2020 LIQUID ALTERNATIVES INDUSTRY MONITOR
Q1 2020 Overview pgs. 4-9
Index Performance
Quarterly and Yearly Commentary
Universe Overview
Universe Summary
Industry Evolution
Activity Highlights pgs. 10-14
Top 20 Funds
Universe Activity
Capital Flows
Categorization Matrix
Wilshire Liquid Alternatives IndexSM pgs. 15-21
10 Year Returns
10 Year Drawdowns
Index Percentiles
Manager Count
Strategy Weights
Wilshire Manager Coverage Process pgs. 22-23
4. Š2020 Wilshire Associates. For Financial Advisors Only. 4
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 3/31/2020
Q1 2020 LIQUID ALTERNATIVES INDUSTRY MONITOR
WILSHIRE LIQUID
ALTERNATIVE
INDEX
SM
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
Mar. 2020 -6.33% -6.98% -5.88% -12.35% -0.59% -6.82% -5.65% -0.18% -7.76% -7.13%
Feb. 2020 -1.99% -2.17% -1.44% -8.23% 1.80% -4.68% -0.64% -0.55% -2.53% -0.60%
Jan. 2020 -0.31% -0.43% 0.41% -0.04% 1.92% -1.15% 0.27% -0.06% -0.26% 0.05%
Qtr. Return -8.48% -9.39% -6.85% -19.60% 3.15% -12.20% -6.00% -0.79% -10.33% -7.64%
YTD -8.48% -9.39% -6.85% -19.60% 3.15% -12.20% -6.00% -0.79% -10.33% -7.64%
1 Yr. Return -5.43% -5.11% -1.39% -6.98% 8.93% -8.37% -2.70% 1.58% -7.90% -4.74%
3 Yr. Return -1.08% 0.32% -0.54% 5.10% 4.82% -2.19% 0.66% 0.16% -1.51% -0.61%
5 Yr. Return -0.84% 1.09% -0.65% 6.73% 3.36% -1.53% 0.25% -1.46% -1.26% 0.03%
10 Yr. Return 0.93% 2.78% 0.23% 10.53% 3.88% 0.36% 1.12% 0.28% 0.71% 1.90%
Cumulative
Return
9.67% 31.60% 2.36% 172.10% 46.39% 3.70% 11.78% 2.85% 7.36% 20.71%
Standard
Deviation
3.57% 5.34% 4.42% 13.30% 2.94% 5.02% 3.13% 4.16% 4.51% 3.61%
5. Š2020 Wilshire Associates. For Financial Advisors Only. 5
Q1 2020 Performance Highlights
⢠The Wilshire Liquid Alternative Equity Hedge IndexSM ended March down -6.82% and the quarter down -
12.20%, outperforming the HFRX Equity Hedge Indexâs monthly and quarterly returns of -9.58% and -
13.33%, respectively. Equity hedge strategies experienced a significant decline as equity markets sold off
as the COVID-19 pandemic spread. A collapse in oil prices further exacerbated the situation following a
production dispute between Russia and Saudi Arabia. Long-biased equity managers, with either a growth
or value-orientation, were affected during the quarter as most economic activity ceased and financial
market volatility skyrocketed.
⢠The Wilshire Liquid Alternative Event Driven IndexSM ended March down -5.65% and the quarter down -
6.00%, underperforming the HFRX Event Driven Indexâs monthly and quarterly returns of -5.48% and -
5.50%, respectively. As the COVID-19 pandemic spread globally, M&A activity came to an abrupt halt and
spreads began to widen indiscriminately, reaching levels not seen since 2008.
Performance
Q1 2020 LIQUID ALTERNATIVES INDUSTRY MONITOR
6. Š2020 Wilshire Associates. For Financial Advisors Only. 6
Q1 2020 Performance Highlights
⢠The Wilshire Liquid Alternative Global Macro IndexSM ended March down -0.18% and the quarter down
-0.79%, outperforming the HFRX Macro/CTA Indexâs monthly and quarterly returns of -0.81% and -1.18%,
respectively. CTAs were relatively diversified, with longs in fixed income, the U.S. dollar, and shorts in
energy and commodity-driven currencies, offsetting losses incurred in equities.
⢠The Wilshire Liquid Alternative Relative Value IndexSM ended March down -7.13% and the quarter down
-7.64%, underperforming the HFRX Relative Value Arbitrage Indexâs monthly and quarterly returns of -
6.07% and -5.44%, respectively. Relative value credit managers were generally flat going into March, but
then suffered substantial losses as credit began to fall in value across the quality spectrum and spreads
widened dramatically in the wake of deleveraging. Convertible arbitrage managers also suffered as
deleveraging expanded to most areas of the market.
Performance
Q1 2020 LIQUID ALTERNATIVES INDUSTRY MONITOR
7. Š2020 Wilshire Associates. For Financial Advisors Only. 7
Universe Overview (as of 3/31/2020)
Q1 2020 LIQUID ALTERNATIVES INDUSTRY MONITOR
LIQUID ALTS
UNIVERSE
EQUITY
HEDGE
GLOBAL
MACRO
RELATIVE
VALUE
EVENT
DRIVEN
MULTI-
STRATEGY
Total number of liquid alternative funds 425 174 57 85 31 78
% of universe (# of funds) 100% 41% 14% 20% 7% 18%
Total assets ($millions) $ 271,329 $ 50,699 $ 23,869 $ 140,761 $ 15,240 $ 40,762
% of universe (assets) 100% 19% 9% 52% 5% 15%
Total number of funds with 3 years 347 145 49 72 24 57
Total 3 year assets ($millions) $ 266,158 $ 49,218 $ 23,453 $ 139,330 $ 15,182 $ 38,975
Total number of funds over $100 million 190 52 29 57 14 38
Funds launched in the last 12 months 13 3 2 4 0 4
Largest Funds by AUM$
FPA Crescent:
$10.2bn
AQR Managed
Futures Strategy:
$4.0bn
BlackRock
Strategic Income
Opps: $29.1bn
BlackRock Event
Driven Equity
Inst: $4.5bn
Blackstone Alt.
Multi-Strategy:
$6.6bn
Gateway:
$6.8bn
Eaton Vance Global
Macro Abs. Rtn:
$3.1bn
Templeton Global
Bond: $22.6bn
Merger Investor:
$3.0bn
Catalyst/Milburn
Hedge Strategy:
$3.6bn
JPMorgan Hedged
Equity R6:
$6.5bn
Eaton Vance Global
Macro Abs Ret
Advantage: $2.6bn
JP Morgan Strategic
Income Opps:
$10.7bn
BlackRock Global
L/S Credit: $1.9bn
Goldman Sachs
Absolute Ret Trckr
Instl. : $3.2bn
Neuberger Berman
Long Short:
$2.6bn
Natixis ASG
Managed Futures
Strategy:
$1.6bn
Calamos Market
Neutral Income A:
$8.6bn
Arbitrage R:
$1.5bn
JP Morgan Global
Allocation: $3.2bn
Diamond Hill Long-
Short:
$2.5bn
American Beacon
AHL Managed
Futures
$1.1bn
Navigator Tactical
Fixed Income:
$5.0bn
Gabelli ABC AAA:
$0.8bn
BNY Mellon Global
Real Return: $2.8bn
8. Š2020 Wilshire Associates. For Financial Advisors Only. 8
Source: Morningstar, universe as defined by Wilshire, 3/31/2020.
Universe Summary
Q1 2020 LIQUID ALTERNATIVES INDUSTRY MONITOR
New Fund Launches and Closures
⢠1 new equity hedge liquid alternative fund was launched during
the quarter
⢠1 fund was acquired
⢠11 funds were liquidated
Key Asset Level Changes
(Through Additions, Liquidations, & Organic Growth/Loss)
⢠$49.2bn decrease in assets of the Liquid Alternative Universe
o $24.4bn decrease in relative value
o $13.0bn decrease in equity hedge
o $8.2bn decrease in multi-strategy
o $2.3bn decrease in global macro
o $1.3bn decrease in event driven
19%
9%
52%
5%
15%
MARKET SHARE BY STRATEGY Q1 2020
Equity Hedge
Global Macro
Relative Value
Event Driven
Multi-Strategy
20%
8%
52%
5%
15%
MARKET SHARE BY STRATEGY Q4 2019
9. Š2020 Wilshire Associates. For Financial Advisors Only. 9
Universe Activity Commentary
The liquid alternative universe saw a decrease
in fund count during Q1 2020, continuing the
trend we saw throughout 2019. One new
fund was launched in Q1. Of the 11 fund
liquidations, four were equity hedge, four
were global macro, two were multi-strategy
and one was event driven. One global macro
fund was acquired.
Liquid alternative universe assets decreased
by $49.2bn in Q1 2020. New entrants
(comprised of new fund launches) brought in
$0.02bn, while liquidations, and acquisitions
created outflows of $0.4bn. Net capital
outflows from the universe totaled $21.7bn.
Performance losses decreased AUM by
$27.1bn.
Source: Morningstar, universe as defined by Wilshire
Universe Fund Count and AUM
Q1 2020 LIQUID ALTERNATIVES INDUSTRY MONITOR
0
100
200
300
400
500
600
$-
$50,000
$100,000
$150,000
$200,000
$250,000
$300,000
$350,000
$400,000
Sep-13
Dec-13
Mar-14
Jun-14
Sep-14
Dec-14
Mar-15
Jun-15
Sep-15
Dec-15
Mar-16
Jun-16
Sep-16
Dec-16
Mar-17
Jun-17
Sep-17
Dec-17
Mar-18
Jun-18
Sep-18
Dec-18
Mar-19
Jun-19
Sep-19
Dec-19
Mar-20
WILSHIRE UNIVERSE TRENDS ON FUND COUNT AND AUM
Universe AUM ($ Millions) Total Number Liquid Alt Funds
11. Š2020 Wilshire Associates. For Financial Advisors Only. 11
Source: Morningstar, Universe as defined by Wilshire, 3/31/2020
Universe Top 20 â
Assets Under Management
Q1 2020 LIQUID ALTERNATIVES INDUSTRY MONITOR
TOP 20 BY AUM Q1 2020 Q1 2020 AUM Q4 2019 AUM CHANGE Q1 2020 RANKING Q4 2019 RANKING
BlackRock Strategic Income Opps Instl Relative Value $29.1bn $33.9bn -$4.8bn 1 1
Templeton Global Bond A Relative Value $22.6bn $26.9bn -$4.3bn 2 2
JPMorgan Strategic Income Opports R5 Relative Value $10.7bn $12.1bn -$1.3bn 3 4
FPA Crescent Equity Hedge $10.2bn $14.0bn -$3.8bn 4 3
Calamos Market Neutral Income A Relative Value $8.6bn $9.0bn -$0.5bn 5 5
Gateway A Equity Hedge $6.8bn $8.2bn -$1.4bn 6 6
Blackstone Alternative Multi-Strategy I Multi-Strategy $6.6bn $8.1bn -$1.6bn 7 7
JPMorgan Hedged Equity R6 Equity Hedge $6.5bn $6.7bn -$0.2bn 8 8
Navigator Tactical Fixed Income I Relative Value $5.0bn $5.2bn -$0.2bn 9 13
Columbia Strategic Income A Relative Value $4.6bn $5.5bn -$0.9bn 10 9
JHancock Strategic Income Opps I Relative Value $4.6bn $5.4bn -$0.8bn 11 11
BlackRock Event Driven Equity Instl Event Driven $4.5bn $4.1bn $0.4bn 12 19
Guggenheim Macro Opportunities Instl Relative Value $4.2bn $5.4bn -$1.2bn 13 10
AQR Managed Futures Strategy N Global Macro $4.0bn $4.4bn -$0.4bn 14 18
T. Rowe Price Dynamic Global Bond Inv Relative Value $3.9bn $4.6bn -$0.7bn 15 15
Catalyst/Millburn Hedge Strategy A Multi-Strategy $3.6bn $5.4bn -$1.8bn 16 12
Performance Trust Strategic Bond Relative Value $3.4bn $3.3bn $0.1bn 17 n/a
Templeton Global Total Return Adv Relative Value $3.4bn $4.6bn -$1.2bn 18 16
Putnam Diversified Income A Relative Value $3.4bn $4.5bn -$1.1bn 19 17
PIMCO Dynamic Bond Instl Relative Value $3.4bn $4.1bn -$0.7bn 20 20
12. Š2020 Wilshire Associates. For Financial Advisors Only. 12
*Change includes net flows and organic growth/loss
Source: Morningstar, Universe as defined by Wilshire, 3/31/2020
Universe Activity â Largest AUM Changes
Q1 2020 LIQUID ALTERNATIVES INDUSTRY MONITOR
TOP 5 LARGEST INCREASES IN AUM Q1 2020 Q4 2019 CHANGE* STRATEGY
BlackRock Systematic Multi-Strat Instl $0.9bn $0.4bn $0.5bn Multi-Strategy
BlackRock Event Driven Equity Instl $4.5bn $4.1bn $0.4bn Event Driven
Neuberger Berman Long Short Instl $2.6bn $2.2bn $0.4bn Equity Hedge
Sierra Tactical Bond Instl $0.6bn $0.3bn $0.3bn Relative Value
Infinity Q Diversified Alpha Instl $1.1bn $0.8bn $0.3bn Multi-Strategy
TOP 5 LARGEST DECREASES IN AUM Q1 2020 Q4 2019 CHANGE* STRATEGY
BlackRock Strategic Income Opps Instl $29.1bn $33.9bn -$4.8bn Relative Value
Templeton Global Bond A $22.6bn $26.9bn -$4.3bn Relative Value
FPA Crescent $10.2bn $14.0bn -$3.8bn Equity Hedge
Catalyst/Millburn Hedge Strategy A $3.6bn $5.4bn -$1.8bn Multi-Strategy
Blackstone Alternative Multi-Strategy I $6.6bn $8.1bn -$1.6bn Multi-Strategy
13. Š2020 Wilshire Associates. For Financial Advisors Only. 13
Source: Morningstar, Universe as defined by Wilshire, 3/31/2020
Universe Activity â 1Q 2020 Fund Flows
Q1 2020 LIQUID ALTERNATIVES INDUSTRY MONITOR
TOP 5 FUNDS BY INFLOWS NET INFLOWS STRATEGY
BlackRock Event Driven Equity Instl $0.7bn Event Driven
Neuberger Berman Long Short Instl $0.6bn Equity Hedge
BlackRock Systematic Multi-Strat Instl $0.6bn Multi-Strategy
Sierra Tactical Bond Instl $0.3bn Relative Value
Performance Trust Strategic Bond $0.2bn Relative Value
TOP 5 FUNDS BY OUTFLOWS NET INFLOWS STRATEGY
Templeton Global Bond A -$3.1bn Relative Value
BlackRock Strategic Income Opps Instl -$2.8bn Relative Value
FPA Crescent -$1.0bn Equity Hedge
Templeton Global Total Return Adv -$0.9bn Relative Value
Guggenheim Macro Opportunities Instl -$0.9bn Relative Value
14. Š2020 Wilshire Associates. For Financial Advisors Only. 14Š2020 Wilshire Associates. For Financial Advisors Only.
Fund Flows During Q1 2020
There were approximately $21.7bn
in net outflows from the liquid
alternatives universe:
⢠$13.6bn net outflows from
relative value funds
⢠$4.1bn net outflows from
equity hedge funds
⢠$2.0bn net outflows from
multi-strategy funds
⢠$1.5bn net outflows from
global macro funds
⢠$0.4bn net outflows from
event driven funds
⢠The liquid alternatives universe saw its eighth
consecutive quarter of net outflows, with all five
sub-strategies experiencing net outflows in Q1.
⢠BlackRock Event Driven Equity saw net inflows of
$0.7bn in Q1, with Neuberger Berman Long Short,
BlackRock Systematic Multi-Strat, Sierra Tactical
Bond, and Performance Trust Strategic Bond also
seeing inflows of $0.6bn, $0.6bn, $0.3bn and
$0.2bn, respectively.
⢠Templeton Global Bond experienced the largest
outflow of $3.1bn in Q1. BlackRock Strategic
Income Opps, FPA Crescent, Templeton Global
Total Return Advantage, and Guggenheim Macro
Opportunities also experienced net outflows of
$2.8bn, $1.0bn, $0.9bn and $0.9bn, respectively.
Capital Flows
LIQUID ALTERNATIVES FUNDS
Source: Morningstar, Universe as defined by Wilshire, 3/31/2020
16. Š2020 Wilshire Associates. For Financial Advisors Only. 16
Past performance is not indicative of future return.
10 Year Returns
Wilshire Liquid Alternatives Index SM
Q1 2020 LIQUID ALTERNATIVES INDUSTRY MONITOR
$900
$1,000
$1,100
$1,200
$1,300
$1,400
$1,500
GROWTH OF $1000 4/30/2010 â 3/31/2020
Wilshire Liquid Alternative Broad-Based Index HFRI Fund Weighted Composite Index HFRX Global Hedge Fund Index
17. Š2020 Wilshire Associates. For Financial Advisors Only. 17
Past performance is not indicative of future return.
10 Year Drawdowns
Wilshire Liquid Alternatives Index SM
Q1 2020 LIQUID ALTERNATIVES INDUSTRY MONITOR
-12.0%
-10.0%
-8.0%
-6.0%
-4.0%
-2.0%
0.0%
Drawdown 4/30/2010 - 3/31/2020
Wilshire Liquid Alternative Broad-Based Index HFRI Fund Weighted Composite Index HFRX Global Hedge Fund Index
18. Š2020 Wilshire Associates. For Financial Advisors Only. 18
*Note: The peer groupsâ beta percentiles are with respect to their sub-strategy indices
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: Morningstar, 3/31/2020
One Year Index Percentiles by Strategy
(as of 3/31/2020)
Q1 2020 LIQUID ALTERNATIVES INDUSTRY MONITOR
1 Year Return
PERCENTILES EQUITY HEDGE EVENT DRIVEN GLOBAL MACRO MULTI-STRAT RELATIVE VALUE
High 40.1 5.1 23.2 13.5 10.3
5th
10.4 2.4 13.8 5.2 3.8
25th
-3.2 0.0 8.2 -2.8 -0.1
Median -8.8 -2.6 1.5 -6.1 -3.8
75th
-13.1 -8.8 -5.3 -10.6 -6.4
95th
-21.2 -18.4 -10.1 -20.9 -16.9
Low -59.6 -31.2 -19.4 -32.7 -37.0
1 Year Std. Dev.
PERCENTILES EQUITY HEDGE EVENT DRIVEN GLOBAL MACRO MULTI-STRAT RELATIVE VALUE
High 59.7 24.3 25.1 33.5 43.4
5th
25.7 20.2 16.6 20.6 19.4
25th
17.5 14.3 12.5 13.1 11.4
Median 12.6 6.4 9.8 9.0 8.0
75th
9.0 4.4 7.8 6.1 5.6
95th
5.1 2.9 4.3 4.1 3.3
Low 2.0 2.3 2.1 3.1 2.0
1 Year Beta*
PERCENTILES* EQUITY HEDGE EVENT DRIVEN GLOBAL MACRO MULTI-STRAT RELATIVE VALUE
High 5.0 2.0 35.0 3.3 5.2
5th
2.3 1.7 8.4 2.1 2.3
25th
1.5 1.0 2.1 1.3 1.4
Median 1.1 0.5 1.4 0.8 0.9
75th
0.4 0.3 0.5 0.2 0.3
95th
-0.6 0.2 -1.1 -45.3 -42.8
Low -3.4 0.2 -30.1 -55.2 -113.1
Peer Count 156 32 57 78 92
19. Š2020 Wilshire Associates. For Financial Advisors Only. 19
*Note: The peer groupsâ beta percentiles are with respect to their sub-strategy indices.
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: Morningstar, 3/31/2020
Three Year Index Percentiles by Strategy
(as of 3/31/2020)
Q1 2020 LIQUID ALTERNATIVES INDUSTRY MONITOR
3 Year Return
PERCENTILES EQUITY HEDGE EVENT DRIVEN GLOBAL MACRO MULTI-STRAT RELATIVE VALUE
High 13.9 6.0 12.8 8.7 6.2
5th
7.5 5.5 8.6 4.9 3.3
25th
2.7 2.4 2.5 1.0 1.6
Median -0.3 1.3 0.9 -0.4 0.7
75th
-3.0 -0.5 -1.7 -2.1 -0.7
95th
-8.9 -3.3 -4.2 -8.7 -5.7
Low -30.9 -13.4 -6.4 -14.6 -27.7
3 Year Std. Dev.
PERCENTILES EQUITY HEDGE EVENT DRIVEN GLOBAL MACRO MULTI-STRAT RELATIVE VALUE
High 36.5 18.7 25.6 23.3 36.3
5th
18.8 14.3 15.6 14.1 13.2
25th
12.6 8.9 11.0 9.1 7.1
Median 10.0 4.4 8.7 6.3 5.7
75th
7.9 3.5 6.3 5.1 3.6
95th
5.2 2.6 4.4 3.5 2.6
Low 1.6 2.5 3.3 3.1 1.9
3 Year Beta*
PERCENTILES* EQUITY HEDGE EVENT DRIVEN GLOBAL MACRO MULTI-STRAT RELATIVE VALUE
High 3.5 2.0 16.7 3.3 5.0
5th
2.1 1.5 7.6 2.1 2.1
25th
1.4 0.8 2.2 1.3 1.3
Median 1.1 0.4 1.1 0.9 0.8
75th
0.6 0.3 0.4 0.6 0.3
95th
-0.2 0.1 0.0 -13.0 -5.8
Low -1.5 0.1 -22.1 -25.1 -73.5
Peer Count 147 25 55 65 89
23. Š2020 Wilshire Associates. For Financial Advisors Only. 23
Manager Coverage Process
Q1 2020 LIQUID ALTERNATIVES INDUSTRY MONITOR
Wilshireâs Research Coverage Model
Wilshireâs Alternatives team actively covers
approximately 30 liquid alternative strategies
⢠Wilshireâs 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
24. Š2020 Wilshire Associates. For Financial Advisors Only. 24
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
Q1 2020 LIQUID ALTERNATIVES INDUSTRY MONITOR
25. Š2020 Wilshire Associates. For Financial Advisors Only. 25
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This material represents the current opinion of Wilshire Associates Incorporated (âWilshireâ) 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,
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Q1 2020 LIQUID ALTERNATIVES INDUSTRY MONITOR