The Wilshire Liquid Alternative Index, which provides a representative baseline for how the broad liquid alternative investment category performs, returned -1.27 per cent in May, underperforming the -0.68 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, and Wilshire Analytics, creator of the Wilshire 5000 Total Market Index.
“May was characterised by a sharp reversal of sentiment from April,” says Jason Schwarz (pictured), President of Wilshire Funds Management and Wilshire Analytics. “Investors sought safe-haven assets, such as US Treasuries, while selling equities as global trade relations appeared strained.”
The Wilshire Liquid Alternative Multi-Strategy Index, which includes both single and multi-manager funds, returned -1.91 per cent in May.
The Wilshire Liquid Alternative Global Macro IndexSM ended the month down -1.16 per cent, underperforming the -0.27 per cent return of the HFRX Macro/CTA Index. Trend followers were slightly negative as a group, while discretionary macro managers were generally negative in May.
The Wilshire Liquid Alternative Relative Value Index ended the month up 0.10 per cent, underperforming the 0.18 per cent return of the HFRX Relative Value Arbitrage Index. Credit-based strategy returns were generally positive in May due to the strong performance of US 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 Index ended the month down -3.32 per cent, underperforming the -2.01 per cent 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 Index ended the month down -0.52 per cent, underperforming the -0.44 per cent 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.
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