| Opalesque Industry Update - The Wilshire Liquid Alternative IndexSM, which provides a representative baseline for how the broad liquid alternative investment category performs, returned -0.05% in April, underperforming the 0.09% 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.
"Financial markets were mixed in April as interest rates increased in response to continued positive economic momentum in the U.S.," said Jason Schwarz, President of Wilshire Funds Management. "As a result, manager performance was mixed across sub-strategies with the market rewarding credit risk, while duration risk was negative. Value has also recently gained favor over growth following the resurgence of energy in the past two months."
Multi-Strategy
The Wilshire Liquid Alternative Multi-Strategy IndexSM, which includes both single and multi-manager funds, returned 0.15% in April.
Global Macro
- The Wilshire Liquid Alternative Global Macro IndexSM ended the month down -0.05%, underperforming the 0.46% return of the HFRX Macro/CTA Index.
- Systematic strategies contributed 19 basis points in April, while discretionary strategies detracted another 10 basis points.
- Currency managers were relatively flat on the month with mixed manager results.
Relative Value
- The Wilshire Liquid Alternative Relative Value IndexSM ended the month down -0.07%, underperforming the 0.23% return of the HFRX Relative Value Arbitrage Index.
- Credit managers were flat as a group with mixed results, while multi-strategy managers detracted slightly, experiencing mixed results.
- Investment grade corporate credit traded down as interest rates rose, while high yield credits performed better and credit spreads tightened from 379 basis points to 346 basis points in April.
- U.S. treasury yields increased to 2.95%, with overall YTD rate increases upwards of 50 basis points.
Equity Hedge
- The Wilshire Liquid Alternative Equity Hedge IndexSM ended the month down -0.19%, underperforming the -0.55% return of the HFRX Equity Hedge Index.
- Long-biased and neutral managers remained relatively flat, detracting just 2 basis and 15 basis points of return, respectively.
- Gains in energy stocks caused value-oriented strategies to outperform value-oriented strategies in April.
Event Driven
- The Wilshire Liquid Alternative Event Driven IndexSM ended the month up 0.04%, underperforming the 0.43% return of the HFRX Event Driven Index.
- Credit strategies and multi-strategy event funds were positive on the month, adding 14 and 12 basis points to the return, respectively, while merger arbitrage strategies detracted 24 basis points of return.
|