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"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."

Multi-Strategy

· 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.

• 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.

• 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.

• 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.