Tue, Sep 17, 2019
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Industry Updates

Wilshire Liquid Alternative Index falls -1.27% in May

Friday, June 14, 2019
Opalesque Industry Update - 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, 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."


· 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.

What do you think?

   Use "anonymous" as my name    |   Alert me via email on new comments   |   
Today's Exclusives Today's Other Voices More Exclusives
Previous Opalesque Exclusives                                  
More Other Voices
Previous Other Voices                                               
Access Alternative Market Briefing


  • Top Forwarded
  • Top Tracked
  • Top Searched
  1. Albright Capital builds on emerging markets impact strategy, signs on to IFC principles[more]

    Bailey McCann, Opalesque New York: Albright Capital has adopted the International Finance Corporation's Operating Principles for Impact Management. The firm has also developed its own impact measurement system as part of the implementation of the principles. The IFC's principles were

  2. Investing: Hedge funds getting burned as growth stocks trounced by value, Why investors are prioritizing health care in a big way, Fannie, Freddie soar as hedge funds score wins on two fronts[more]

    Hedge funds getting burned as growth stocks trounced by value From Bloomberg: A hedge-fund favorite is rapidly losing ground in the stock market just as one of the industry's least-loved sectors picks up. Growth stocks, generally companies that are seeing rapid profit increases, have drop

  3. PE/VC: Supersized unicorn: Root Insurance leaps to $3.65bn valuation with $350m round[more]

    Root Insurance is now valued at $3.65 billion after a $350 million funding round - the largest single venture capital round ever in the state. The 3-year-old auto insurer, now the startup with the highest valuation of any in Ohio, has raised a cumulative $523 million in VC and another $100 mi

  4. Testing hedge performance when stocks crash[more]

    Bonds have historically been a reliable buffer for stock exposure. But low yields and potential reversion to a more positive stock/bond correlation would likely translate to less protection. Gold has been a solid crisis hedge but has experienced long stretches of negative inflation-adjusted returns.

  5. PE/VC: The FBI is investigating a venture capital fund started by Peter Thiel for financial misconduct, Why venture capital firms need more women partners and entrepreneurs[more]

    The FBI is investigating a venture capital fund started by Peter Thiel for financial misconduct From Vox: Federal investigators are probing the conduct and practices of Mithril Capital, a venture capital firm co-founded by Peter Thiel, Recode has learned. US officials - including t