Wilshire Liquid Alternative Index returns 1.54 per cent in May
The Wilshire Liquid Alternative Index, which provides a representative baseline for how the broad liquid alternative investment category performs, returned 1.54 per cent in May, outperforming the 1.44 per cent monthly return of the HFRX Global Hedge Fund Index.
The Wilshire Liquid Alternative Index family aims to deliver precise market measures for the performance of diversified liquid alternative investment strategies implemented through mutual fund structures, backed by a proprietary classification methodology.
“Markets continued to rally in May as optimism surrounding the development of a COVID-19 vaccine and the steady re-opening of the economy encouraged investors,” says Jason Schwarz, Chief Operating Officer of Wilshire Associates.
The Wilshire Liquid Alternative Multi-Strategy Index, which includes both single and multi-manager funds, returned 1.36 per cent in May.
The Wilshire Liquid Alternative Equity Hedge Index ended the month up 1.29 per cent, outperforming the HFRX Equity Hedge Index’s return of 1.22 per cent.
Equity markets, specifically stay-at-home and healthcare-related growth stocks, continued to rally during May, outperforming value stocks for another month.
A factor rotation towards value began to materialise during the last week of the month, with managers buying into deeply undervalued sectors such as Financials.
The Wilshire Liquid Alternatives Event Driven Index ended the month up 1.14 per cent, underperforming the HFRX Event Driven Index’s monthly return of 1.96 per cent.
Merger spreads continued to tighten in early May; however this trend broke mid-month due to growing concerns surrounding the collapse of several large deals. Advent International’s unilateral withdrawal from its acquisition of ForeScout Technologies is a notable example.
The Wilshire Liquid Alternative Global Macro Index ended the month up 0.33 per cent, outperforming the HFRX Macro/CTA Index’s monthly return of 0.26 per cent.
Most global macro managers experienced a muted month of returns, with CTAs and managed futures managers losing money on the back of reversals across most asset classes. This was particularly the case for net short positions in oil. Slightly positive returns from FX positions somewhat offset this.
Discretionary macro managers had a mixed month following a normalisation of government bond volatility resulting in fewer opportunities to invest across rates.
The Wilshire Liquid Alternative Relative Value Index, ended the month up 2.23 per cent, outperforming the HFRX Relative Value Arbitrage Index’s monthly return of 2.00 per cent.
Relative value convertible arbitrage managers posted a gain in May as spreads compressed and volatility declined.
May continued to be a positive month for relative value credit managers as RMBS, ABS, CLO and CMBS spreads continued to tighten.