The Wilshire Liquid Alternative Index, which provides a representative baseline for how the broad liquid alternative investment category performs, returned -0.27 per cent in May, underperforming the 0.26 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.
“May experienced heightened volatility following political uncertainty in Europe and concerns related to global trade tensions,” says Jason Schwarz (pictured), President of Wilshire Funds Management and Wilshire Analytics. “As a result, European and emerging markets struggled in May, while US financial markets were positive.”
The Wilshire Liquid Alternative Multi-Strategy IndexSM, which includes both single and multi-manager funds, returned 0.07 per cent in May.
The Wilshire Liquid Alternative Global Macro IndexSM ended the month down 1.81 per cent, underperforming the 0.36 per cent return of the HFRX Macro/CTA Index.
Systematic strategies struggled as trend following managers continued to underperform.
The Wilshire Liquid Alternative Relative Value IndexSM ended the month down 0.44 per cent, underperforming the 0.58 per cent return of the HFRX Relative Value Arbitrage Index.
Credit managers benefited from exposure to asset backed securities, such as mortgages, and certain leveraged credits, such as loans and high yield bonds.
Global and emerging credit markets were challenged due to bond market volatility resulting from political uncertainty in Italy.
Credit spreads widened to 363 basis points from 346 basis points in May.
The Wilshire Liquid Alternative Equity Hedge IndexSM ended the month up 0.62 per cent, outperforming the 0.30 per cent return of the HFRX Equity Hedge Index.
Long-biased managers added positively to performance, driven by gains in fundamental growth strategies, while certain factor-based strategies underperformed in May.
Global strategies also underperformed as a result of the political uncertainty derived from Italy.
Value-oriented strategies underperformed growth strategies as financials and consumer staples underperformed Information Technology stocks.
The Wilshire Liquid Alternative Event Driven Index ended the month up 0.60 per cent, outperforming the 0.36 per cent return of the HFRX Event Driven Index.
Credit and merger arbitrage strategies ended May positively.
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