WILSHIRE ASSOCIATES

Liquid Alternatives Industry Monitor

A Summary of Industry Trends and Statistics

Q1 2018

©2018 Wilshire Associates. For Use with Financial Advisors Only.

Q1 2018 Liquid Alternatives

A Ro u g h S t a r t fo r M a rket s
• Equity markets started the year with extremely strong January performance, with the S&P 500 Index posting a monthly return of
5.73%. January was followed by a massive sell-off at the beginning of February, and the market then moved sideways through
the end of the quarter. The S&P 500 Index fell -0.76% for the first quarter, while the Bloomberg Barclays Aggregate Bond Index
returned -1.46% during the same period. The HFRI Fund Weighted Composite, the HFRX Global Hedge Fund Index, and the
Wilshire Liquid Alternatives Index returned 0.35%, -1.02%, and -0.99%, respectively.

• The best performing Wilshire Liquid Alternative sub-strategy index during the quarter was the Wilshire Liquid Alternative Event
Driven Index, which ended the first quarter up 0.21%, while all other sub-strategy indices posted negative returns.

• The worst performing sub-strategy index during the quarter was the Wilshire Liquid Alternative Equity Hedge Index, which ended
the quarter down -2.28%, underperforming the HFRX Equity Hedge Index’s 1.17% quarterly return. The Index was negatively
impacted by approximately 170 basis points due to events surrounding the LJM Preservation and Growth Fund, who’s option
strategy suffered extreme losses during February as volatility spiked.

• During the quarter, all sub-strategy indices saw net inflows. Relative value funds had the largest net inflows of $7.5bn, which
are also the largest net quarterly inflows to this space since the inception of Wilshire Liquid Alternative indices. The equity
hedge and multi-strategy spaces continued to see meaningful net inflows, and the event driven and global macro spaces finally
saw small net inflows after consecutive quarters of outflows.

• Q1 2018 saw two new liquid alternatives fund launches and 24 liquidations. The decrease in fund count and increase in net
inflows is consistent with the theme of industry maturation.

As investors continue to utilize liquid alternatives in their portfolio construction, Wilshire Associates hopes to provide more
clarity and transparency to the broader investment community regarding the evolution and growth of this 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.

©2018 Wilshire Associates. For Use with Financial Advisors Only.

2
Wilshire Associates

TA B L E O F C O N T E N T S
Q1 2018 Overview pgs. 4-9
Index Performance
Quarterly Commentary
Universe Overview
Universe Summary
Industry Evolution
Activity Highlights pgs. 10-15
Top 20 Funds
Universe Activity
Capital Flows
Categorization Matrix
Wilshire Liquid Alternatives Index pgs. 16-22
10 Year Returns
10 Year Drawdowns
Index Percentiles
Manager Count
Strategy Weights
Wilshire Manager Coverage Process pgs. 23-24

©2018 Wilshire Associates. For Use with Financial Advisors Only.

3
 Q1 2018 Liquid Alternatives

P E R FO R M A N C E (AS OF 3-31-2018)

Wilshire Wilshire
Wilshire Liquid Wilshire Liquid
HFRI Fund Bloomberg Wilshire Liquid Liquid Liquid
Wilshire Liquid HFRX Global Alternative Alternative
Weighted S&P 500 Barclays U.S. Alternative Alternative Alternative
Alternative Hedge Fund Equity Hedge Multi-Strategy
Composite Index Aggregate Event Driven Global Macro Relative
IndexSM Index Index SM IndexSM
Index Bond Index Index IndexSM Value IndexSM

Mar. 2018 -0.40% -0.25% -0.98% -2.54% 0.64% -0.95% -0.70% -0.31% -0.39% -0.05%
Feb. 2018 -2.16% -1.73% -2.42% -3.69% -0.95% -3.77% 0.05% -4.04% -2.16% -0.61%
Jan. 2018 1.59% 2.37% 2.45% 5.73% -1.15% 2.52% 0.87% 2.74% 1.54% 0.63%
Qtr. Return -0.99% 0.35% -1.02% -0.76% -1.46% -2.28% 0.21% -1.72% -1.04% -0.01%
YTD -0.99% 0.35% -1.02% -0.76% -1.46% -2.28% 0.21% -1.72% -1.04% -0.01%
1 Yr. Return 2.56% 6.29% 3.20% 13.99% 1.20% 3.12% 2.20% 1.32% 3.89% 2.35%
3 Yr. Return1 0.52% 3.58% 0.51% 10.78% 1.20% 0.68% 0.48% -2.15% 0.69% 1.44%
5 Yr. Return1 1.29% 4.27% 1.29% 13.31% 1.82% 1.87% 0.66% 0.84% 1.62% 1.31%
10 Yr. Return1 1.39% 3.62% -0.24% 9.49% 3.63% 0.95% 2.41% -0.06% 1.11% 2.89%

Cumulative
21.23% 61.34% 4.86% 166.79% 64.06% 16.40% 35.13% 7.94% 15.67% 42.86%
Return2
Standard
3.86% 5.89% 5.69% 14.37% 3.20% 3.96% 3.23% 4.71% 5.76% 4.81%
Deviation1,2
1: Annualized, 2: Monthly Returns from Jul 2006 to Mar. 2018 displayed in US Dollar (USD)

Returns provided for each Wilshire Index include data for periods prior to when each Wilshire Index was in active production, using the methodology applied to each index at the time it was created. Therefore certain
returns reflect back-tested calculations. Back tested returns are hypothetical in nature, do not represent actual performance, and may reflect the application of the index methodology with the benefit of hindsight. In
general, all 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.

©2018 Wilshire Associates. For Use with Financial Advisors Only.

4
Q1 2018 Liquid Alternatives

P E R FO R M A N C E (AS OF 3-31-2018)
Q1 2018 Performance Highlights

• The Wilshire Liquid Alternative Index (WLAI) returned -0.99% in Q1 2018,

outpacing the HFRX Global Hedge Fund Index by three basis points and
underperforming the HFRI Fund Weighted Composite Index’s 0.35% Q1
return.

• The Wilshire Liquid Alternative Equity Hedge Index, which includes

long/short equity and market neutral funds, ended Q1 2018 down -2.28%.
It is important to highlight that the Index was negatively impacted by
approximately 170 basis points due to events surrounding the LJM
Preservation and Growth Fund, who’s option strategy suffered extreme
losses during February as volatility spiked. Long-biased equity strategies
underperformed, driven by the weak and volatile equity markets, notably in
February and March. Quantitative and systematic strategies outperformed.
Growth strategies continued to outperform value-oriented strategies, a
trend observed throughout 2017, primarily driven by Technology and
Consumer Discretionary stocks’ significant gains. Market neutral strategies
added positively to the Index.

• The Wilshire Liquid Alternative Event Driven Index, which includes credit,
merger arbitrage and special situations funds, ended the first quarter up
0.21%. Credit managers focused on taking credit risk in floating rate
products such as leveraged loans and structured credit outperformed as
credit spreads remained tight and interest rates rose. Credit managers with
duration neutral and short duration portfolios also outperformed. Merger
arbitrage strategies were positive as a group and provided non-correlated
returns as broader equity markets were volatile.

©2018 Wilshire Associates. For Use with Financial Advisors Only.

5
Q1 2018 Liquid Alternatives

P E R FO R M A N C E (AS OF 3-31-2018)
Q1 2018 Performance Highlights Continued..

• The Wilshire Liquid Alternative Global Macro Index, which includes

systematic, discretionary, commodity and currency funds, ended Q1 2018
down -1.71%. For the quarter, systematic, discretionary and currency
strategies all contributed negatively to the Index. January started extremely
strongly as the Index had its best month since its 2006 inception. This was
led by systematic strategies’ long equity exposure due to the extended
bullish trend and low volatility. February and March were much more
difficult as the sharp reversal in February caught these managers on the
wrong side of the positioning. Discretionary managers were also hurt
during this sharp selloff in equities. Markets moved sideways in March,
with large daily moves both to the upside and downside, which is not
conducive to trend followers. Discretionary managers also did not perform
well in February and March.

• The Wilshire Liquid Alternative Relative Value Index, which includes credit,
convertible arbitrage and volatility funds, finished Q1 down -0.01%. The 10-
year U.S. Treasury yield increased from 2.4%, at the beginning of the year
to 2.94% in mid-February, before closing out the quarter at 2.74%. This
large and sudden move was due to inflation concerns after January’s CPI
growth numbers surprised to the upside. After February CPI numbers were
released, those concerned subsided a bit. The potential “trade war” fear
with China led to further uncertainty and volatility. Credit and multi-strategy
managers who had risk-on positions took advantage of a strong January
only to give most of it back in February. Many of the credit strategies were
intentionally underweight duration and therefore did not feel the negative
impact of the sudden rate rise.

©2018 Wilshire Associates. For Use with Financial Advisors Only.

6
Q1 2018 Liquid Alternatives

U N I V E R S E OV E RV I E W (AS OF 3-31-2018)

Liquid Alts Universe Equity Hedge Global Macro Relative Value Event Driven Multi-Strategy
Total number of Liquid Alt Funds 494 204 73 84 35 98
% of universe (# of funds) 100% 41% 15% 17% 7% 20%

Total Assets ($ Millions) $333,374 $81,913 $46,260* $131,602 $16,950 $56,650*

% of universe (assets) 100% 25% 14% 39% 5% 17%

Total number of Funds with 3 years 350 130 57 67 27 69

Total 3 year Assets ($Millions) $315,603 $75,900 $45,201 $129,863 $16,154 $48,486

Total number of Funds over $100 million 223 65 31 56 19 52

Funds Launched in the last 12 months 40 17 2 6 3 12
AQR Managed BlackRock Strategic Blackstone Alt.
FPA Crescent: BlackRock Global.
Futures Strategy: Income Opps: Multi-Strategy:
$17.0bn L/S Credit: $4.0bn
$10.7bn $34.4bn $6.0bn
Eaton Vance Global
Gateway: JP Morgan Strategic Merger Investor: Wells Fargo Abs. Return:
Macro Abs. Rtn:
$8.3bn Income Opps: $12.0bn $2.4bn $5.6bn
$5.6bn
Boston Partners Eaton Vance Global
Largest Funds by AUM$ Long/Short Research: Macro Abs Ret
PIMCO All Asset All
Authority: $7.9bn
Arbitrage R:
$1.9bn
AQR Style Premia
Alternative: $5.2bn*
$7.1bn Advantage: $4.6bn

John Hancock Global Abs. Carillon Reams

AQR Long-Short Equity: John Hancock Strategic Catalyst/Milburn Hedge
Rtn. Strategy: Unconstrained Bond:
$6.1bn Income Opps: $7.8bn Strategy: $4.0bn
$4.5bn $1.6bn
Source: Morningstar, Universe as defined by Wilshire, 3-31-2018
Source: Morningstar, Universe as defined by Wilshire, 12-31-2015
Diamond Hill Long- Natixis ASG Managed
Guggenheim Macro Driehaus Active Income: JP Morgan Global
Short: $4.6bn Futures Strategy:
Opportunities: $6.9bn $1.5bn Allocation: $3.1bn
$3.3bn

©2018 Wilshire Associates. For Use with Financial Advisors Only. Note: *We reclassified AQR Alternative Risk Premia R6, AQR Style Premia Alternative LV R6 and AQR Style Premia
Alternative from Global Macro category to Multi-Strategy in Q1 2018, which resulted in a meaningful AUM change in 7
these two categories.
Q1 2018 Liquid Alternatives

U N I V E R S E S U M M A RY
New Fund Launches and Closures Key Asset Level Changes
(Through Additions, Liquidations, & Organic
• 2 new liquid alternative funds were launched
during the quarter Growth/Loss)
o 1 relative value fund • $9.0bn increase in assets of the Liquid Alternative
o 1 multi-strategy fund Universe
• 3 funds were reclassified into the universe o $0.1bn increase in equity hedge
• 3 funds were reclassified out of universe o $7.6bn increase in relative value
o $6.7bn increase in multi-strategy*
• 24 funds were liquidated
o $0.1bn increase in event driven
o $5.6bn decrease increase in global macro*

Market Share by Strategy Q1 2018 Market Share by Strategy Q4 2017

Equity Hedge
17% 15%
5% 25% Global Macro 5% 25%

Relative Value
14% 16%
Event Driven 39%
39%
Multi-Strategy

Source: Morningstar, universe as defined by Wilshire, 3-31-2018.

©2018 Wilshire Associates. For Use with Financial Advisors Only. Note: *We reclassified AQR Alternative Risk Premia R6, AQR Style Premia Alternative LV R6 and AQR Style Premia
Alternative from Global Macro category to Multi-Strategy in Q1 2018, which resulted in a meaningful AUM change in
these two categories.
8
 Evolution of the Industry

U N I V E R S E F U N D C O U N T A N D AU M
Universe Activity Commentary
• The liquid alternative universe saw a sizable drop
Wilshire Universe Trends on Fund Count and AUM in fund count during Q1 2018, continuing a period
$400,000 600 of fund count decreases beginning Q1 2016. Only
two new funds were launched in Q1. Of the 24
$350,000 fund liquidations, 8 were equity hedge, 2 were
500 event driven, 6 were global macro, 5 were multi-
$300,000 strategy and 3 were relative value.

400
$250,000 • In terms of AUM, universe assets increased by
$9bn in Q1 2018, mainly through net inflows as
$200,000 300 the Wilshire Liquid Alternative indices posted
mostly negative returns. New entrants (comprised
$150,000 of new fund launches and pre-existing funds that
200 were reclassified as Liquid Alternative during the
$100,000 quarter) brought in $0.9bn, while liquidations
created outflows of $1.8bn. Net capital flows
100
$50,000 totaled $11.9bn, and organic growth contributed
negatively.
$- 0
• The decrease in fund count and increase in AUM
is consist with the theme of industry maturation.
Universe AUM ($ Millions) Total Number Liquid Alt Funds

Source: Morningstar, universe as defined by Wilshire

©2018 Wilshire Associates. For Use with Financial Advisors Only.

9
 Activity Highlights

©2018 Wilshire Associates. For Use with Financial Advisors Only.

Univer se Top 20

A S S E T S U N D E R M A N AG E M E N T
Q1 2018 Q4 2017
Top 20 by AUM Q1 2018 Q1 2018 AUM Q4 2017 AUM Change
Ranking Ranking
BlackRock Strategic Income Opportunities Relative Value $34.4bn $31.5bn $2.9bn 1 1
FPA Crescent Equity Hedge $16.9bn $17.5bn -$0.6bn 2 2
JP Morgan Strategic Income Opportunities Relative Value $12.0bn $12.2bn -$0.2bn 3 3
AQR Managed Futures Strategy Global Macro $10.7bn $11.1bn -$0.4bn 4 4
Gateway Equity Hedge $8.3bn $8.5bn -$0.2bn 5 5
PIMCO All Asset All Authority Relative Value $7.9bn $8.1bn -$0.2bn 6 6
John Hancock Strategic Income Opps Relative Value $7.8bn $8.0bn -$0.2bn 7 7
Boston Partners Long/Short Research Equity Hedge $7.1bn $7.0bn $0.1bn 8 8
Guggenheim Macro Opportunities Relative Value $6.9bn $6.5bn $0.4bn 9 9
AQR Long-Short Equity Equity Hedge $6.1bn $5.5bn $0.6bn 10 11
Blackstone Alternative Multi-Strategy Multi-Strategy $6.0bn $5.3bn $0.7bn 11 14
Eaton Vance Global Macro Absolute Return Global Macro $5.6bn $5.4bn $0.2bn 12 12
Wells Fargo Absolute Return Multi-Strategy $5.6bn $5.7bn -$0.1bn 13 10
Calamos Market Neutral Income Relative Value $5.2bn $4.8bn $0.5bn 14 16
AQR Style Premia Alternative Multi-Strategy $5.2bn $4.7bn $0.5bn 15 18
Goldman Sachs Strategic Income Relative Value $4.6bn $5.4bn -$0.7bn 16 13
Eaton Vance Global Macro Abs Ret Advtg* Global Macro $4.6bn $3.9bn $0.8bn 17 n/a
Diamond Hill Long-Short Equity Hedge $4.6bn $4.8bn -$0.2bn 18 17
John Hancock Global Absolute Ret Strategy Global Macro $4.5bn $4.8bn -$0.3bn 19 15
T. Rowe Price Dynamic Global Bond* Relative Value $4.3bn $2.2bn $2.1bn 20 n/a
Source: Morningstar, Universe as defined by Wilshire, 3-31-2018

Note: *Eaton Vance Global Macro Absolute Return Advantage and T. Rowe Price Dynamic Global Bond became new entrants into the Top 20.
Metropolitan West Unconstrained Bond and Columbia Strategic Income exited the Top 20 in Q1 2018.

©2018 Wilshire Associates. For Use with Financial Advisors Only.

11
Universe Activity

L A RG E ST AU M C H A N G E S
Top 5 Largest Increases in AUM Q1 2018 Q4 2017 Change* Strategy

BlackRock Strategic Income Opportunities $34.4bn $31.5bn $2.9bn Relative Value

T. Rowe Price Dynamic Global Bond $4.3bn $2.2bn $2.1bn Relative Value

Navigator Tactical Fixed Income $3.0bn $1.0bn $2.1bn Relative Value

Eaton Vance Global Macro Abs Ret Advtg $4.6bn $3.9bn $0.8bn Global Macro

Blackstone Alternative Multi-Strategy $6.0bn $5.3bn $0.7bn Multi-Strategy

Top 5 Largest Decreases in AUM Q1 2018 Q4 2017 Change* Strategy

Multi-Manager Directional Alt Strategy $0.3bn $1.1bn -$0.8bn Equity Hedge

Metropolitan West Unconstrained Bond $3.3bn $4.1bn -$0.8bn Relative Value

Goldman Sachs Strategic Income $4.6bn $5.4bn -$0.7bn Relative Value

FPA Crescent $16.9bn $17.5bn -$0.6bn Equity Hedge

AQR Managed Futures Strategy $10.7bn $11.1bn -$0.4bn Global Macro

*Change includes net flows and organic growth/loss

Source: Morningstar, Universe as defined by Wilshire, 3-31-2018

©2018 Wilshire Associates. For Use with Financial Advisors Only.

12
Universe Activity

Q 1 2 018 F U N D F LOWS
Top 5 Funds by Inflows Net Inflows Strategy

BlackRock Strategic Income Opportunities $2.9bn Relative Value

T. Rowe Price Dynamic Global Bond $2.1bn Relative Value

Navigator Tactical Fixed Income $2.1bn Relative Value

Eaton Vance Glbl Macro Abs Ret Advtg $0.8bn Global Macro

Blackstone Alternative Multi-Strategy $0.7bn Multi-Strategy

Top 5 Funds by Outflows Net Outflows Strategy

Multi-Manager Directional Alt Strategy -$0.8bn Equity Hedge

Goldman Sachs Strategic Income -$0.8bn Relative Value

Metropolitan West Unconstrained Bond -$0.7bn Relative Value

FPA Crescent -$0.4bn Equity Hedge

JP Morgan Unconstrained Debt -$0.3bn Relative Value

Source: Morningstar, Universe as defined by Wilshire, 3-31-2018

©2018 Wilshire Associates. For Use with Financial Advisors Only.

13

C A P I TA L F LOWS
Liquid Alternatives Universe Highlights – Q1 2018
Fund Flows during Q1 2018
There were approximately $11.9bn in
net inflows from the liquid alternatives
universe:
• $7.5bn net inflows from relative
value funds
• $2.0bn net inflows from multi-
strategy funds
• $1.5bn net inflows from equity
hedge funds
• $0.1bn net inflows from event
driven funds
• $0.8bn net inflows from global
macro funds
Liquid Alternatives Funds
• All sub-strategy indices saw net inflows during the quarter.
The relative value, equity hedge and multi-strategy spaces
continued to see meaningful net inflows, and the event
driven and global macro spaces finally saw net inflows after
consecutive quarters of outflows.
• BlackRock Strategic Income continued to see large net
inflows of $2.9bn in Q1, the largest net inflows in the
universe. T. Rowe Price Dynamic Global Bond and Navigator
Tactical Fixed Income also had large net inflows in Q1,
$2.1bn each.
• Multi-Manager Directional Alt Strategy had the largest net
outflows of $0.8bn in Q1. Goldman Sachs Strategic Income
Fund continued to see large net outflows of $0.78bn during
the quarter. FPA Crescent, which is the second largest fund
in the universe, saw significant outflows of $0.4bn.
©2018 Wilshire Associates. For Use with Financial Advisors Only.
14
Wilshire Liquid Alternative Categories
Q UA RT E R LY C AT E G O R I Z AT I O N M AT R I X
(AS OF 3-31 -2018)
Equity Hedge
US Fund Multialternative
US Fund Long-Short Equity
US Fund Nontraditional Bond
US Fund Options-based
US Fund Market Neutral
US Fund Managed Futures
Morningstar Categories
US Fund Long-Short Credit
US Fund Multicurrency
US Fund Volatility
US Fund Bear Market
US Fund Large Blend
US Fund World Allocation
US Fund High Yield Bond
US Fund Multisector Bond
US Fund Tactical Allocation
US Fund Mid-Cap Blend
US Fund Mid-Cap Growth
US Fund Preferred Stock
US Fund Small Blend
US Fund Allocation--30% to
US Fund Allocation--50% to
US Fund Allocation--70% to
US Fund Commodities Broad
US Fund Convertibles
US Fund Corporate Bond
US Fund Infrastructure
US Fund Real Estate
Grand Total
As of 3-31-2018
Source: Morningstar, universe as defined by Wilshire
©2018 Wilshire Associates. For Use with Financial Advisors Only.
Wilshire Liquid Alternative Categories
Event Driven Global Macro Multi-Strategy Relative Value Not Liquid Alt Grand Total
3 6 22 85 3 2 121
109 2 3 114
2 3 4 54 21 84
55 1 6 3 65
25 15 1 7 2 50
39 39
7 8 2 17
6 6 12
1 2 3
3 1 3 7
4 4
3 3
2 1 3
2 2
2 1 1 4
2 2
1 1
1 1 2
2 2
1 1
1 1
1 1
1 1
1 1
1 1
1 1
1 1
204 35 73 98 84 49 543
15
 Wilshire Liquid Alternatives IndexSM

©2018 Wilshire Associates. For Use with Financial Advisors Only.

10 Year Returns

W I L S H I R E L I Q U I D A LT E R N AT I V E S I N D E X S M
4-1-2008 to 3-31-2018

Past performance is not indicative of future return.

©2018 Wilshire Associates. For Use with Financial Advisors Only.

17
10 Year Dr awdowns

W I L S H I R E L I Q U I D A LT E R N AT I V E S I N D E X S M
4-1-2008 to 3-31-2018

Past performance is not indicative of future return.

©2018 Wilshire Associates. For Use with Financial Advisors Only.

18
 1 Year Index Per centiles

BY ST R AT E GY (AS OF 3-31-2018)

Percentiles Equity Hedge Event Driven Global Macro Multi-Strat Relative Value
High 17.8 9.1 13.1 29.1 10.2
5th 15.3 8.2 7.7 10.5 6.6
1 Year  25th 9.6 3.8 3.5 5.3 4.2
Return Median 5.7 2.8 1.4 2.7 2.8
75th 1.4 1.3 -2.0 0.7 1.3
95th -3.9 -2.3 -7.4 -4.5 -1.7
Low -13.0 -9.0 -28.7 -6.5 -42.4

Percentiles Equity Hedge Event Driven Global Macro Multi-Strat Relative Value
High 15.4 9.9 32.8 14.8 29.1
1 Year  5th 10.5 9.2 17.9 9.5 5.5
Std.  25th 7.6 3.5 12.8 4.7 2.4
Median 5.8 2.6 8.8 3.4 1.6
Dev.
75th 4.6 2.1 4.8 2.6 1.1
95th 2.7 1.2 2.3 1.5 0.6
Low 1.2 0.8 1.1 0.7 0.5

Percentiles* Equity Hedge Event Driven Global Macro Multi-Strat Relative Value
High 2.3 4.5 4.5 4.1 11.3
5th 1.7 3.5 2.5 2.1 2.4
1 Year    25th 1.2 1.4 2.0 1.2 1.2
Beta* Median 0.8 1.0 0.9 0.8 0.8
75th 0.5 0.5 0.4 0.6 0.4
95th 0.0 0.1 -0.4 0.2 -0.1
Low -1.7 -0.9 -1.6 -1.4 -19.1
Peer Count 183 32 73 82 81
*Note: The peer groups’ beta percentiles are with respect to their sub-strategy indices.

Returns provided for each Wilshire Index include data for periods prior to when each Wilshire Index was in active production, using the methodology applied to each index at the time it was created. Therefore certain
returns reflect back-tested calculations. Back tested returns are hypothetical in nature, do not represent actual performance, and may reflect the application of the index methodology with the benefit of hindsight. In
general, all 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.

©2018 Wilshire Associates. For Use with Financial Advisors Only.

19
 3 Year Index Per centiles

BY ST R AT E GY (AS OF 3-31-2018)

Percentiles Equity Hedge Event Driven Global Macro Multi-Strat Relative Value
High 13.4 10.8 7.8 11.9 6.3
5th 8.6 8.9 4.5 6.7 5.1
3 Year  25th 5.8 3.9 2.0 2.7 3.8
Return Median 3.2 2.0 -0.7 1.2 2.6
75th 0.7 1.5 -3.4 -0.2 1.9
95th -4.4 0.0 -9.1 -2.6 0.6
Low -13.7 -10.1 -14.8 -4.7 -37.2

Percentiles Equity Hedge Event Driven Global Macro Multi-Strat Relative Value
High 19.6 14.6 25.6 9.9 23.3
3 Year  5th 12.8 12.8 15.9 8.3 7.7
Std.  25th 9.3 5.5 11.2 4.9 3.7
Median 7.4 3.8 8.6 3.9 3.0
Dev.
75th 5.5 2.5 5.9 3.3 2.3
95th 3.8 1.8 3.7 2.7 1.4
Low 1.9 1.5 2.0 1.2 0.9

Percentiles* Equity Hedge Event Driven Global Macro Multi-Strat Relative Value
High 2.6 3.4 3.7 2.3 2.8
5th 2.0 3.2 2.4 2.0 1.6
3 Year  25th 1.4 1.2 1.8 1.0 1.1
Beta Median 1.1 0.7 0.8 0.8 0.8
75th 0.6 0.3 0.3 0.6 0.5
95th -0.1 0.0 -0.1 0.2 0.2
Low -2.4 -2.2 -0.3 -1.0 -5.0
Peer Count 129 27 59 65 69
*Note: The peer groups’ beta percentiles are with respect to their sub-strategy indices.

Returns provided for each Wilshire Index include data for periods prior to when each Wilshire Index was in active production, using the methodology applied to each index at the time it was created. Therefore certain
returns reflect back-tested calculations. Back tested returns are hypothetical in nature, do not represent actual performance, and may reflect the application of the index methodology with the benefit of hindsight. In
general, all 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.

©2018 Wilshire Associates. For Use with Financial Advisors Only.

20
Constituent Count

W I L S H I R E L I Q U I D A LT E R N AT I V E S I N D E X S M
600

500
84

400
Number of Constituents

90

300
79

35
200

100 198

0
Dec-99
Jun-00
Dec-00
Jun-01
Dec-01
Jun-02
Dec-02
Jun-03
Dec-03
Jun-04
Dec-04
Jun-05
Dec-05
Jun-06
Dec-06
Jun-07
Dec-07
Jun-08
Dec-08
Jun-09
Dec-09
Jun-10
Dec-10
Jun-11
Dec-11
Jun-12
Dec-12
Jun-13
Dec-13
Jun-14
Dec-14
Jun-15
Dec-15
Jun-16
Dec-16
Jun-17
Dec-17
Equity Hedge Event Driven Global Macro Multi-Strategy Relative Value

Note: Index constituent count is based on Wilshire Associates bi-annual reconstitution.

©2018 Wilshire Associates. For Use with Financial Advisors Only.

21
Sub-Strategy Weights

W I L S H I R E L I Q U I D A LT E R N AT I V E S I N D E X S M
100%

90%
38%
80%

70%

60%
15%

50%

40% 16%

30%
5%

20%

10% 25%

0%
Jun-00
Dec-00
Jun-01
Dec-01
Jun-02
Dec-02
Jun-03
Dec-03
Jun-04
Dec-04
Jun-05
Dec-05
Jun-06
Dec-06
Jun-07
Dec-07
Jun-08
Dec-08
Jun-09
Dec-09
Jun-10
Dec-10
Jun-11
Dec-11
Jun-12
Dec-12
Jun-13
Dec-13
Jun-14
Dec-14
Jun-15
Dec-15
Jun-16
Dec-16
Jun-17
Dec-17
Equity Hedge Event Driven Global Macro Multi-Strategy Relative Value

Note: Weightings are based on Wilshire Associates bi-annual reconstitution.

©2018 Wilshire Associates. For Use with Financial Advisors Only.

22
 Wilshire Manager Coverage Process

©2018 Wilshire Associates. For Use with Financial Advisors Only.

Wilshire Funds Management

M A N AG E R C OV E R AG E P RO C E S S
Research Coverage Model

Wilshire Alternatives Team actively covers

41 Liquid Alternative strategies
Top 20 by AUM
• Wilshire’s manager coverage
represents over 50% of the
industry’s assets

Wilshire
Focus Lists
Portfolios
Coverage is driven by the following criteria:

• Industry: Top 20 by AUM

• PM Team: Wilshire portfolios

• Research Team: Focus Lists Our Criteria Overlap Provides

Significant Ownership of the
Broader Liquid Alternatives
Universe
©2018 Wilshire Associates. For Use with Financial Advisors Only.
24
Wilshire Associates

C O N TAC T U S

For additional information

please contact:

Wilshire Funds Management

Email: managedportfolios@wilshire.com
Office: 855.626.8281

Wilshire Associates Incorporated

1299 Ocean Avenue, Suite 700
Santa Monica, CA 90401

©2018 Wilshire Associates. For Use with Financial Advisors Only.

25
Wilshire Associates

I M P O RTA N T I N FO R M AT I O N
Wilshire Funds Management is a business unit of Wilshire Associates Incorporated (“Wilshire®”). This material represents the current opinion of
Wilshire Funds Management 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. Samples provided are for demonstration purposes only and are not to be relied upon. 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 Associates Incorporated ("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 not sponsored, endorsed, sold or promoted by Wilshire. Index returns do not reflect payment of certain sales charges or fees
an investor may pay to purchase the securities underlying the Index or investment vehicles intended to track the performance of the Index. The
imposition of these fees and charges would cause actual performance of the securities/vehicles to be lower than the Index performance shown.
Inclusion of a company in the Wilshire Indexes does not in any way reflect an opinion of Wilshire on the investment merits of the company.

This material contains confidential and proprietary information of Wilshire Funds Management and is intended for the exclusive use of the
person to whom it is provided. It may not be disclosed, reproduced or redistributed, in whole or in part, to any other person or entity without prior
written permission from Wilshire Funds Management.

This material is intended for informational purposes only and should not be construed as an attempt to sell or solicit any Wilshire products or
services and should not be construed as legal, accounting, tax, investment, or other professional advice.

Wilshire® is a registered service mark of Wilshire Associates Incorporated, Santa Monica, California. All other trade names, trademarks, and/or
service marks are the property of their respective holders. Copyright © 2018 Wilshire Associates Incorporated. All rights reserved.

180437 E0718

©2018 Wilshire Associates. For Use with Financial Advisors Only.

26