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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."

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.

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?

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