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"Trends observed in the first quarter continued during the second quarter as equity markets appreciated both domestically and globally," said Jason Schwarz, President of Wilshire Funds Management. "More specifically, fundamental growth strategies continued to outperform value-oriented strategies, and corporate debt markets continued to exhibit positive performance as high yield credit gained each month."

The Wilshire Liquid Alternative Multi-Strategy Index, which includes both single and multi-manager funds, returned -0.04% in June.

The Wilshire Liquid Alternative Equity Hedge Index, which includes long/short equity and market neutral funds, gained 0.33% in June and 0.70% for the second quarter in 2017, underperforming the HFRX Equity Hedge Index by 53 basis points and 31 basis points, respectively. Long-biased equity managers were the largest contributors to the Index's performance, as equity markets gained in every month throughout the quarter. Global strategies slightly lagged domestic equity strategies in June, but, nonetheless, outperformed in the second quarter as European and emerging market equities materially outperformed. Despite a partial reversal of recent trends in June, fundamental growth strategies continued to outperform value-oriented strategies in the second quarter, as the Russell 1000 Growth Index outperformed the Russell Value Index by 330 basis points during the quarter.

The Wilshire Liquid Alternative Global Macro Index, which includes systematic, discretionary, commodity and currency funds, ended June negatively, returning -1.31%, but ended the first quarter positively, returning 1.17%, outperforming both the -0.41% June return and the -0.01% quarterly return of the HFRX Macro/CTA Index. CTAs had a difficult April, while May and June were more favorable. The majority, if not all of CTA performance stemmed from the equity space as interest rates, currencies, and commodities were more range bound and did not exhibit a strong trend. Discretionary managers performed significantly better and more consistently throughout the quarter, taking advantage of the strong global equity markets and navigating both the energy markets and the Fed's interest rate hike on June 14th.

The Wilshire Liquid Alternative Event Driven Index, which includes credit, merger arbitrage and special situations funds, ended June up 0.44% and returned 1.22% in the second quarter, outperforming the HFRX Event Driven Index by 47 basis points in June, but underperforming the HFRX Event Driven Index by 39 basis points for the quarter. Credit managers contributed positively to Index performance as corporate credit markets experienced positive market technicals and price appreciation, most notably within April and May. As a result, managers were rewarded for credit risk and special situation credit and equity positions benefited during the periods. Merger arbitrage strategies were positive in each month of the quarter.

The Wilshire Liquid Alternative Relative Value Index, which includes credit, convertible arbitrage and volatility funds, finished June up 0.31%, outperforming the HFRX Relative Value Arbitrage Index, which returned 0.21%. Second quarter performance was comparable, as the Relative Value Index returned 1.14% versus the HFRX Index, which returned 0.68%. During the second quarter, credit managers took advantage of spread compression in both investment grade and high yield markets. Multi-strategy and convertible arbitrage managers also performed positively throughout the quarter. Volatility managers were the only detractors from performance in the relative value space. Many credit managers have limited their duration in anticipation of further rate hikes, which has led to significant outperformance within the past year.