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  Wilshire Liquid Alternative Index Gains 0.36% in June Outperforming HFRX Global Hedge Fund Index

SANTA MONICA, CA, JULY 12, 2016—The Wilshire Liquid Alternative IndexSM, which provides a representative baseline for how the broad liquid alternative investment category performs, returned 0.36% in June, outperforming the HFRX Global Hedge Fund Index’s 0.20% return by 16 basis points.

The Wilshire Liquid Alternative Multi-Strategy IndexSM, which includes both single and multi-manager funds, ended the month on a positive note, returning 0.34% in June. The Wilshire Liquid Alternative Index family is a joint offering between Wilshire Funds Management, the global investment management business unit of Wilshire Associates Inc., 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, declined 0.68% in June, outperforming the HFRX Equity Hedge Index by 79 basis points. Long-biased value strategies underperformed this month, as did funds seeking to capitalize on low-volatility equities. Exposure to the Consumer Staples, Utilities, and Telecommunications Services sectors were materially positive in June, as sectors with high-dividend payouts benefited from sharply declining interest rates. Market neutral strategies generally posted negative returns for the month.

The Wilshire Liquid Alternative Global Macro IndexSM, which includes systematic, discretionary, commodity, and currency funds, ended June positively, returning 2.31% and significantly outperforming the HFRX Macro/CTA Index’s 1.00% return. This was the largest monthly gain for the Index since its 2.60% return in January 2015.

“With the Brexit vote concluding with a surprising ‘yes,’ the U.S. dollar significantly appreciated against the British pound and euro, and equity markets sold off,” said Jason Schwarz, president of Wilshire Funds Management. “This worked in favor of most CTA managers who had a defensive to neutral equity position and were long the U.S. dollar versus most major currencies. Discretionary managers had mixed performance, as many managers were hurt by their long equity exposure but also benefited from their U.S. dollar versus the euro and British pound positions.”

The Wilshire Liquid Alternative Event Driven IndexSM, which includes credit, merger arbitrage, and special situations funds, declined 0.18% in June, underperforming the HFRX Event Driven Index by 155 basis points. Merger arbitrage strategies experienced mixed performance but were generally flat as a group. Special situation equity and credit strategies experienced the largest gains as they benefited from event-specific situations. Value-oriented corporate credit managers also performed well in June as the leveraged credit market continued to experience favorable supply/demand dynamics and a recovery in certain Energy sector names. Certain long/short corporate credit managers underperformed.

The Wilshire Liquid Alternative Relative Value IndexSM, which includes credit, convertible arbitrage, and volatility funds, finished the month up 0.42%, outperforming the HFRX Relative Value Arbitrage Index by 15 basis points. June performance was driven by increased volatility, which stemmed from Brexit, the strengthening of U.S. Treasuries, and tightening spreads in high yield.

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 $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: Prosek Partners | pro-wilshire@prosek.com

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