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  Wilshire Liquid Alternative Index Falls -1.27% in May

SANTA MONICA, CA, JUNE 13, 2019—The Wilshire Liquid Alternative IndexSM, which provides a representative baseline for how the broad liquid alternative investment category performs, returned -1.27% in May, underperforming the -0.68% 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.

“May was characterized by a sharp reversal of sentiment from April,” said Jason Schwarz, President of Wilshire Funds Management and Wilshire Analytics. “Investors sought safe-haven assets, such as U.S. Treasuries, while selling equities as global trade relations appeared strained.”

Multi-Strategy

  • The Wilshire Liquid Alternative Multi-Strategy IndexSM, which includes both single and multi-manager funds, returned -1.91% in May.

Global Macro

  • The Wilshire Liquid Alternative Global Macro IndexSM ended the month down -1.16%, underperforming the -0.27% return of the HFRX Macro/CTA Index.
  • Trend followers were slightly negative as a group.
  • Discretionary macro managers were generally negative in May.

Relative Value

  • The Wilshire Liquid Alternative Relative Value IndexSM ended the month up 0.10%, underperforming the 0.18% return of the HFRX Relative Value Arbitrage Index.
  • Credit-based strategy returns were generally positive in May due to the strong performance of U.S. and European high yield.
  • Unconstrained bond funds were also positive in May due to holdings in residential mortgage-backed securities and various long-duration securities.

Equity Hedge

  • The Wilshire Liquid Alternative Equity Hedge IndexSM ended the month down -3.32%, underperforming the -2.01% return of the HFRX Equity Hedge Index.
  • Long-biased managers detracted as the market declined materially on concerns over trade and tariff negotiations.
  • Financials and Information Technology sector investments were also notable detractors in May.

Event Driven

  • The Wilshire Liquid Alternative Event Driven IndexSM ended the month down -0.52%, underperforming the -0.44% return of the HFRX Event Driven Index.
  • Merger arbitrage strategies were more resilient during the month, but still slightly negative as a group.
  • Managers with long credit risk positions gained as low-rated high yield bonds and leveraged loans were negative as risk appetite declined with broader global trade concerns.

About Wilshire Associates

Wilshire Associates Incorporated (“Wilshire”), a leading global financial services firm, provides consulting services, analytics solutions and customized investment solutions to plan sponsors, investment managers and financial intermediaries. Its business units include, Wilshire Analytics, Wilshire Consulting, Wilshire Funds Management and Wilshire Private Markets. The firm was founded in 1972, providing revolutionary technology and acting as an early innovator in the application of investment analytics and research to investment managers in the institutional marketplace. Wilshire also is credited with helping to develop the field of quantitative investment analysis that uses mathematical tools to analyze market risks. All other business units evolved from Wilshire’s strong analytics foundation. Wilshire developed the Wilshire 5000 Total Market Index and became an early innovator in creating integrated asset/liability analysis/simulation models as well as practical models in risk budgeting through beta and active risk analysis. Wilshire has grown to a firm of approximately 260 employees serving the needs of investors around the world. Based in Santa Monica, California, Wilshire serves approximately 500 clients across more than 20 countries. With ten offices worldwide, Wilshire and its affiliates are dedicated to providing clients with the highest quality products and services. Wilshire® and Wilshire 5000® are registered service marks of Wilshire Associates Incorporated. Wilshire 5000 Total Market IndexSM is a service mark of Wilshire Associates Incorporated.

Please visit www.wilshire.com
Twitter: @WilshireAssoc

The data in this release are copyrighted and owned by Wilshire Associates Incorporated.

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

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