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"May experienced heightened volatility following political uncertainty in Europe and concerns related to global trade tensions," said Jason Schwarz, President of Wilshire Funds Management and Wilshire Analytics. "As a result, European and emerging markets struggled in May, while U.S. financial markets were positive."

Multi-Strategy

· The Wilshire Liquid Alternative Multi-Strategy IndexSM, which includes both single and multi-manager funds, returned 0.07% in May.

Global Macro

• The Wilshire Liquid Alternative Global Macro IndexSM ended the month down -1.81%, underperforming the 0.36% return of the HFRX Macro/CTA Index.
• Systematic strategies struggled as trend following managers continued to underperform.

Relative Value

• The Wilshire Liquid Alternative Relative Value IndexSM ended the month down -0.44%, underperforming the 0.58% return of the HFRX Relative Value Arbitrage Index.
• Credit managers benefited from exposure to asset backed securities, such as mortgages, and certain leveraged credits, such as loans and high yield bonds.
• Global and emerging credit markets were challenged due to bond market volatility resulting from political uncertainty in Italy.
• Credit spreads widened to 363 basis points from 346 basis points in May.

Equity Hedge

• The Wilshire Liquid Alternative Equity Hedge IndexSM ended the month up 0.62%, outperforming the 0.30% return of the HFRX Equity Hedge Index.
• Long-biased managers added positively to performance, driven by gains in fundamental growth strategies, while certain factor-based strategies underperformed in May.
• Global strategies also underperformed as a result of the political uncertainty derived from Italy.
• Value-oriented strategies underperformed growth strategies as financials and consumer staples underperformed Information Technology stocks.

Event Driven

• The Wilshire Liquid Alternative Event Driven IndexSM ended the month up 0.60%, outperforming the 0.36% return of the HFRX Event Driven Index.
• Credit and merger arbitrage strategies ended May positively.