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Wilshire Liquid Alternative Index up 0.34 per cent in May

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The Wilshire Liquid Alternative Index, which provides a representative baseline for how the broad liquid alternative investment category performs, returned 0.34 per cent in May, outperforming the 0.24 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 SM.
“Long-biased strategies outperformed in May, benefitting from strong global equity markets, with notable performance from the Information Technology, Utilities, and Consumer Staples sectors. Growth-oriented strategies continued to outperform value oriented strategies,” says Jason Schwarz (pictured), President of Wilshire Funds Management.
The Wilshire Liquid Alternative Multi-Strategy Index SM, which includes both single and multi-manager funds, returned 0.72 per cent in May.
The Wilshire Liquid Alternative Global Macro Index SM ended the month up 0.34 per cent, underperforming the 0.49 per cent return of the HFRX Macro/CTA Index.

CTAs contributed 25 basis points of return while discretionary global macro managers contributed 12 basis points of return.
The Wilshire Liquid Alternative Relative Value Index SM ended the month up 0.49 per cent, outperforming the 0.27 per cent return of the HFRX Relative Value Arbitrage Index.

Credit managers contributed the majority of the return while multi-strategy managers, convertible arbitrage, and volatility strategies were all slightly positive.

Investment grade and high yield credit spreads, as well as US Treasury rates, tightened, slightly benefiting asset-backed and corporate credit managers.
The Wilshire Liquid Alternative Equity Hedge Index SM ended the month down -0.05 per cent, outperforming the -0.57 per cent return of the HFRX Equity Hedge Index.

Long-biased managers contributed 14 basis points of return, market neutral managers detracted 20 basis points, and short-biased managers detracted -1 basis point.

Long-biased strategies benefited from rising equity markets, with positive contributions from the Information Technology sector and rate-sensitive sectors such as Utilities and Consumer Staples.
Growth-oriented strategies continued to materially outperform value-oriented strategies.
The Wilshire Liquid Alternative Event Driven Index SM ended the month up 0.12 per cent, underperforming the 0.93 per cent return of the HFRX Event Driven Index.

Credit and multi-strategy strategies were both flat, while merger arbitrage strategies added 16 basis points to the return.

Managers that were long credit risk benefited as corporate bonds and loans continued to gain.

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