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  Wilshire Liquid Alternative Index Gains 0.34% in May

SANTA MONICA, CA, JUNE 13, 2017—The Wilshire Liquid Alternative IndexSM, which provides a representative baseline for how the broad liquid alternative investment category performs, returned 0.34% in May, outperforming the 0.24% monthly 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.

“Long-biased strategies outperformed in May, benefiting 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.

Multi-Strategy

  • The Wilshire Liquid Alternative Multi-Strategy IndexSM, which includes both single and multi-manager funds, returned 0.72% in May.

Global Macro

  • The Wilshire Liquid Alternative Global Macro IndexSM 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 IndexSM ended the month up 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 IndexSM ended the month 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 IndexSM 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.

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, 2017, Wilshire Funds Management advises on over $157 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.

MORE IN THIS CATEGORY: Alternatives, News/Press Releases

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