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  Wilshire Liquid Alternative Index Falls -0.02% in June

SANTA MONICA, CA, JULY 11, 2017—The Wilshire Liquid Alternative IndexSM, which provides a representative baseline for how the broad liquid alternative investment category performs, returned -0.02% in June, slightly underperforming the 0.03% return of the HFRX Global Hedge Fund Index. The Wilshire Liquid Alternative Index family is a joint offering between Wilshire Funds Management, the global investment management business unit of Wilshire Associates Incorporated, and Wilshire Analytics, creator of the Wilshire 5000 Total Market IndexSM.

“Trends observed in the first quarter continued during the second quarter as equity markets appreciated both domestically and globally,” said Jason Schwarz, President of Wilshire Funds Management. “More specifically, fundamental growth strategies continued to outperform value-oriented strategies, and corporate debt markets continued to exhibit positive performance as high yield credit gained each month.”

The Wilshire Liquid Alternative Multi-Strategy IndexSM, which includes both single and multi-manager funds, returned -0.04% in June.

The Wilshire Liquid Alternative Equity Hedge IndexSM, which includes long/short equity and market neutral funds, gained 0.33% in June and 0.70% for the second quarter in 2017, underperforming the HFRX Equity Hedge Index by 53 basis points and 31 basis points, respectively. Long-biased equity managers were the largest contributors to the Index’s performance, as equity markets gained in every month throughout the quarter. Global strategies slightly lagged domestic equity strategies in June, but, nonetheless, outperformed in the second quarter as European and emerging market equities materially outperformed. Despite a partial reversal of recent trends in June, fundamental growth strategies continued to outperform value-oriented strategies in the second quarter, as the Russell 1000 Growth Index outperformed the Russell Value Index by 330 basis points during the quarter.

The Wilshire Liquid Alternative Global Macro IndexSM, which includes systematic, discretionary, commodity, and currency funds, ended June negatively, returning -1.31%, but ended the first quarter positively, returning 1.17%, outperforming both the -0.41% June return and the -0.01% quarterly return of the HFRX Macro/CTA Index. CTAs had a difficult April, while May and June were more favorable. The majority, if not all of CTA performance stemmed from the equity space as interest rates, currencies, and commodities were more range bound and did not exhibit a strong trend. Discretionary managers performed significantly better and more consistently throughout the quarter, taking advantage of the strong global equity markets and navigating both the energy markets and the Fed’s interest rate hike on June 14.

The Wilshire Liquid Alternative Event Driven IndexSM, which includes credit, merger arbitrage, and special situations funds, ended June up 0.44% and returned 1.22% in the second quarter, outperforming the HFRX Event Driven Index by 47 basis points in June, but underperforming the HFRX Event Driven Index by 39 basis points for the quarter. Credit managers contributed positively to Index performance as corporate credit markets experienced positive market technicals and price appreciation, most notably within April and May. As a result, managers were rewarded for credit risk and special situation credit and equity positions benefited during the periods. Merger arbitrage strategies were positive in each month of the quarter.

The Wilshire Liquid Alternative Relative Value IndexSM, which includes credit, convertible arbitrage, and volatility funds, finished June up 0.31%, outperforming the HFRX Relative Value Arbitrage Index, which returned 0.21%. Second quarter performance was comparable, as the Relative Value Index returned 1.14% versus the HFRX Index, which returned 0.68%. During the second quarter, credit managers took advantage of spread compression in both investment grade and high yield markets. Multi-strategy and convertible arbitrage managers also performed positively throughout the quarter. Volatility managers were the only detractors from performance in the relative value space. Many credit managers have limited their duration in anticipation of further rate hikes, which has led to significant outperformance within the past year.

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 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.*

The Wilshire Liquid Alternative Index family is a joint offering between Wilshire Funds Management and Wilshire Analytics. Wilshire Funds Management leverages Wilshire’s institutional expertise to offer investment advisory services, retirement services, and hedge fund managed account services to some of the largest banks, broker/dealers, asset managers, insurance companies, and retirement plan providers. As of March 31, 2017, Wilshire Funds Management advises on over $179 billion. Wilshire Analytics provides investment firms worldwide with multi-asset class solutions for analytics, attribution, risk management, performance, GIPS reporting, total fund reporting, peer universe, and style comparisons. Wilshire Analytics is the creator of the Wilshire 5000 Total Market IndexSM, widely accepted as the definitive benchmark for the broad U.S. stock market.

Please visit www.wilshire.com for more information.
Twitter: @WilshireAssoc

*Client assets are as represented by Pensions & Investments (P&I), detailed in P&I’s “Largest Retirement Funds” and P&I’s “Largest Money Managers (U.S. institutional tax-exempt assets)” as of 9/30/16 and 12/31/16, and published 2/6/27 and 5/29/17, respectively.

MORE IN THIS CATEGORY: Alternatives, News/Press Releases

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