Wilshire Liquid Alternative Index Gains +0.34% in May

Jun 13 2017 | 10:16pm ET

Liquid alternatives rose in May and outperformed their hedge fund brethren, according to new research from Wilshire Associates

The Wilshire Liquid Alternative Index, which provides a representative baseline for how the broad liquid alternative investment category performs, returned 0.34% in May, the company said. The measure outperformed the 0.24% gain booked by its comparable hedge fund industry benchmark, the HFRX Global Hedge Fund Index published by Hedge Fund Research. 

Four of five liquid alternative substrategy indexes were positive for the month. The details:

  • Multi-Strategy: The Wilshire Liquid Alternative Multi-Strategy Index, which includes both single and multi-manager funds, returned 0.72% in May.
  • Global Macro: The Wilshire Liquid Alternative Global Macro Index ended the month up 0.34%, underperforming the 0.49% return of the HFRX Macro/CTA Index. CTAs contributed 25 basis points of return while discretionary global macro managers contributed 12 basis points of return.
  • Relative Value: The Wilshire Liquid Alternative Relative Value Index gained 0.49%, outperforming the 0.27% return of the HFRX Relative Value Arbitrage Index. Credit managers contributed the majority of the return while multi-strategy managers, convertible arbitrage, and volatility strategies were all slightly positive. Investment grade and high yield credit spreads, as well as U.S. Treasury rates, tightened, slightly benefiting asset-backed and corporate credit managers.
  • Equity Hedge: The Wilshire Liquid Alternative Equity Hedge Index was down -0.05%, outperforming the -0.57% return of the HFRX Equity Hedge Index. Long-biased managers contributed 14 basis points of return, market neutral managers detracted 20 basis points, and short-biased managers detracted -1 basis point. Long-biased strategies benefited from rising equity markets, with positive contributions from the Information Technology sector and rate-sensitive sectors such as Utilities and Consumer Staples. Growth-oriented strategies continued to materially outperform value-oriented strategies.
  • Event Driven: The Wilshire Liquid Alternative Event Driven Index ended the month up 0.12%, underperforming the 0.93% return of the HFRX Event Driven Index. Credit and multi-strategy strategies were both flat, while merger arbitrage strategies added 16 basis points to the return. Managers that were long credit risk benefited as corporate bonds and loans continued to gain.

“Long-biased strategies outperformed in May, benefitting from strong global equity markets, with notable performance from the Information Technology, Utilities, and Consumer Staples sectors. Growth-oriented strategies continued to outperform value oriented strategies,” said Jason Schwarz, President of Wilshire Funds Management, in a statement. 

The Wilshire Liquid Alternative Index family is a joint offering between Wilshire Funds Management and Wilshire Analytics, creator of the Wilshire 5000 Total Market Index. It aims to measure the performance of diversified liquid alternative investment strategies implemented in mutual fund structures.

Founded in 1972, Wilshire Associates is an independent investment consulting and services firm that provides plan sponsors, investment managers and financial intermediaries with a wide range of services. Its business units include Wilshire Analytics, Wilshire Consulting, Wilshire Funds Management and Wilshire Private Markets, and it is home to the Wilshire 5000 Total Market Index. Based in Santa Monica, California, the firm provides services to clients in more than 20 countries representing more than 500 organizations with assets totaling more than $7 trillion.


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