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  Wilshire Liquid Alternative Index Gains 1.17% in July

SANTA MONICA, CA, AUGUST 10, 2016—The Wilshire Liquid Alternative IndexSM, which provides a representative baseline for how the broad liquid alternative investment category performs, returned 1.17% in July, underperforming the HFRX Global Hedge Fund Index’s 1.45% return by 28 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 1.31% in July. 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, gained 1.51% in July, underperforming the HFRX Equity Hedge Index by 48 basis points. Long-biased equity managers were the largest positive contributors to monthly performance, adding 159 basis points, while market neutral and short-biased strategies detracted from the index’s return in July. Value-oriented managers and factor-based equity strategies also outperformed, as they benefited from exposure to the Information Technology, Materials, and Healthcare sectors, which were materially positive in July.

The Wilshire Liquid Alternative Global Macro IndexSM, which includes systematic, discretionary, commodity and currency funds, ended July positively, returning 0.64% and outperforming the HFRX Macro/CTA Index’s 0.30% return.

“The majority of managers captured the energy sell off as well as benefited from the equity rally after the sharp reversal post Brexit,” said Jason Schwarz, president of Wilshire Funds Management. “Discretionary managers, who had long equity exposure in June, also benefited from the risk-on rally in July, which contributed to a positive month for the index.”

The Wilshire Liquid Alternative Event Driven IndexSM, which includes credit, merger arbitrage, and special situations funds, gained 0.98% in July, underperforming the HFRX Event Driven Index by 139 basis points. Merger arbitrage strategies were slightly positive in the month and contributed 8 basis points to the index’s return. Long-biased corporate credit strategies continued to benefit from the recovery in leveraged capital structures, contributing 64 basis points to the index’s performance in July. Multi-strategy event managers were also positive in the month and contributed 25 basis points to the index’s performance.

The Wilshire Liquid Alternative Relative Value IndexSM, which includes credit, convertible arbitrage, and volatility funds, finished the month up 1.15%, outperforming the HFRX Relative Value Arbitrage Index by 32 basis points. July performance was largely driven by credit managers who took advantage of the declining prices and continued tightening of spreads in high yield, with the remaining returns coming from both convertible arbitrage and multi-strategy managers.

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 June 30, 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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