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Wilshire Liquid Alternative Index gains +0.55% in July

Friday, August 16, 2019
Opalesque Industry Update - The Wilshire Liquid Alternative IndexSM, which provides a representative baseline for how the broad liquid alternative investment category performs, returned 0.55% in July, underperforming the 0.77% 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.

"Markets were mixed as investors processed anticipated monetary policy communication from the Federal Reserve, as well as ongoing geopolitical concerns such as trade negotiations," said Jason Schwarz, President of Wilshire Funds Management and Wilshire Analytics.

Multi-Strategy

  • The Wilshire Liquid Alternative Multi-Strategy IndexSM, which includes both single and multi-manager funds, returned 0.37 % in July.

Global Macro

  • The Wilshire Liquid Alternative Global Macro IndexSM ended the month up 1.47%, underperforming the 1.83% return of the HFRX Macro/CTA Index.
  • CTAs continued to produce robust gains in July from long equity, fixed income, and US dollar positions.
  • Discretionary global macro managers were generally flat, with winners benefitting from long risk asset positions and US dollar exposure. Many discretionary global macro managers reduced risk in anticipation of the Federal Reserve's July meeting, ongoing trade tensions between the US and China, and uncertainty in the UK and Hong Kong.

Relative Value

  • The Wilshire Liquid Alternative Relative Value IndexSM ended the month up 0.20%, underperforming the 0.33% return of the HFRX Relative Value Arbitrage Index.
  • Credit managers posted muted but positive returns, with structured credit managers benefitting from carry despite credit spreads tightening less than corporate spreads.
  • Volatility managers posted mixed results as equity and FX volatility remained low and rates volatility declined substantially following June's elevated levels.

Equity Hedge

  • The Wilshire Liquid Alternative Equity Hedge IndexSM ended the month up 0.85%, underperforming the 1.07% return of the HFRX Equity Hedge Index.
  • Domestic strategies were positive in July, while emerging market strategies struggled amid continued concern over trade and tariff negotiations.
  • Factor-based strategies were negative in July.

Event Driven

  • The Wilshire Liquid Alternative Event Driven IndexSM ended the month up 0.58%, underperforming the 0.16% return of the HFRX Event Driven Index.
  • Merger arbitrage and special situation strategies were positive in July.
  • Managers with long high yield bond and loan positions benefited from spread compression.

What do you think?

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