The Wilshire Liquid Alternative Index, which provides a representative baseline for how the broad liquid alternative investment category performs, returned 0.55 per cent in July, underperforming the 0.77 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.
“Markets were mixed as investors processed anticipated monetary policy communication from the Federal Reserve, as well as ongoing geopolitical concerns such as trade negotiations,” says Jason Schwarz (pictured), President of Wilshire Funds Management and Wilshire Analytics.
The Wilshire Liquid Alternative Multi-Strategy Index, which includes both single and multi-manager funds, returned 0.37 per cent in July.
The Wilshire Liquid Alternative Global Macro Index ended the month up 1.47 per cent, underperforming the 1.83 per cent 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.
The Wilshire Liquid Alternative Relative Value Index ended the month up 0.20 per cent, underperforming the 0.33 per cent 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.
The Wilshire Liquid Alternative Equity Hedge Index ended the month up 0.85 per cent, underperforming the 1.07 per cent 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.
The Wilshire Liquid Alternative Event Driven Index ended the month up 0.58 per cent, underperforming the 0.16 per cent 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.
