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  Wilshire Liquid Alternative Index℠ Gains 0.10% In May

SANTA MONICA, CA, JUNE 10, 2016—The Wilshire Liquid Alternative IndexSM, which provides a representative baseline for how the broad liquid alternative investment category performs, returned 0.10% in May, underperforming the HFRX Global Hedge Fund Index’s 0.46% return by 36 basis points.

The Wilshire Liquid Alternative Multi-Strategy IndexSM, which includes both single and multimanager funds, also ended the month on a positive note, posting a 0.36% return. 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.

The Wilshire Liquid Alternative Equity Hedge IndexSM, which includes long/short equity and market neutral funds, was up 0.28% for the month, underperforming the HFRX Equity Hedge Index by 16 basis points. Long-biased value strategies contributed most positively, as exposure to the Consumer Staples, Financials, and Information Technology sectors materially benefitted performance. Low beta names, which declined materially in April, experienced a reversal in May, benefiting lower volatility strategies. Market neutral strategies were mixed.

The Wilshire Liquid Alternative Global Macro IndexSM, which includes systematic, discretionary, commodity and currency funds, ended May down -0.82%, significantly outperforming the HFRX Macro/CTA Index’s -1.72% return for the month.

“For March, April, and May, the Macro Index has been negative and as a result has turned the Index negative for 2016,” said Jason Schwarz, president of Wilshire Funds Management. “Discretionary managers fared better than systematic managers this month, posting slightly positive returns, while currency and commodity strategies were mixed.”

The Wilshire Liquid Alternative Event Driven IndexSM, which includes credit, merger arbitrage, and special situations funds, gained 0.63% in May, underperforming the HFRX Event Driven Index by 204 basis points. Special situation equity strategies experienced the largest gains due to exposure to small capitalization and event-specific situations. Value-oriented corporate credit managers also performed well as the leveraged credit market continued to experience favorable supply/demand dynamics. Merger arbitrage strategies were positive across the board, as investors moved to capture attractive merger spreads in the space.

The Wilshire Liquid Alternative Relative Value IndexSM, which includes credit, convertible arbitrage and volatility funds, finished the month up 0.11%, outperforming the -0.11% return for the HFRX Relative Value Arbitrage Index. Convertible arbitrage and volatility managers posted positive returns in May, while credit and multi-strategy managers delivered more mixed performance.

“In May, we did not see the same type of spread tightening that we have during the last few months, resulting in more mixed returns for credit managers,” Schwarz added.

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 serves in excess of 500 clients across 20 countries with combined assets exceeding $7 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, 2016, Wilshire Funds Management advises on over $148 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 9/30/15 and 12/31/15, and published 2/8/16 and 5/30/16, respectively.

CONTACT: Evan Pondel | +1-310-279-5973 | epondel@pondel.com

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