The Wilshire Liquid Alternative Index, which provides a representative baseline for how the broad liquid alternative investment category performs, returned 0.67 per cent in July, underperforming the 0.93 per cent 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 Incorporated, and Wilshire Analytics, creator of the Wilshire 5000 Total Market Index.
“Risk-assets rallied in July, providing a tailwind for equity and credit strategies,” says Jason Schwarz (pictured), President of Wilshire Funds Management. “Long-biased equity strategies were the largest beneficiaries, as growth-oriented strategies outperformed fundamental value strategies. Meanwhile, credit-focused strategies across event-driven and relative value also benefited from further spread compression.”
The Wilshire Liquid Alternative Multi-Strategy Index, which includes both single and multi-manager funds, returned 0.80 per cent in July.
The Wilshire Liquid Alternative Global Macro Index ended the month up 0.64 per cent, underperforming the 0.94 per cent return of the HFRX Macro/CTA Index. CTAs contributed 54 basis points of return while discretionary global macro managers contributed 15 basis points of return.
The Wilshire Liquid Alternative Relative Value Index ended the month up 0.50 per cent, underperforming the 0.91 per cent return of the HFRX Relative Value Arbitrage Index. Credit and multi-strategy managers contributed the majority of the return, while volatility strategies were slightly negative and remained at near historic lows.
Investment grade and high yield credit spreads, as well as US Treasury rates, tightened, which slightly benefited asset-backed and corporate credit managers. The Wilshire Liquid Alternative Equity Hedge Index ended the month up 0.97 per cent, outperforming the 0.87 per cent return of the HFRX Equity Hedge Index.
Long-biased and market neutral managers contributed positively to the month with 88 and 5 basis points of return, respectively, while short-biased managers detracted -3 basis points. Long-biased strategies benefited from rising equity markets, with positive contributions from the Information Technology sector and Telecommunications investments.
Growth-oriented strategies continued to materially outperform value-oriented strategies.
The Wilshire Liquid Alternative Event Driven Index ended the month up 0.26 per cent, underperforming the 1.00 per cent return of the HFRX Event Driven Index.
Credit and merger arbitrage strategies contributed positively to the month with 16 and 6 basis points of return, respectively. Managers that were long credit risk benefited from the gain in high yield bonds.
