Wilshire Liquid Alternative Index Gains +0.67% in July; All Five Substrategies Gain

Aug 11 2017 | 7:13pm ET

Liquid alternatives rose in July as financial markets adopted a risk-on stance, according to new data from Wilshire Associates, led by equity and multi-strategy strategies.

The company’s Wilshire Liquid Alternative Index, which provides a representative baseline for how the broad liquid alternative investment category performs, gained +0.67% during the month. The measure nevertheless underperformed a buoyant month in the traditional hedge fund space, which earned +0.93% as measured by HFRX Global Hedge Fund Index published by Hedge Fund Research. 

All five of Wilshire’s liquid alternative substrategy indexes were positive for the month. The highlights: 

  • Multi-Strategy: The Wilshire Liquid Alternative Multi-Strategy Index, which includes both single and multi-manager funds, returned 0.80% in July.
  • Global Macro: The Wilshire Liquid Alternative Global Macro Index gained 0.64%, underperforming the 0.94% return of the HFRX Macro/CTA Index. CTAs contributed 54 basis points of return while discretionary global macro managers contributed 15 basis points of return, Wilshire noted. 
  • Relative Value: The Wilshire Liquid Alternative Relative Value Index ended the month up 0.50%, also underperforming the 0.91% return of the comparable HFRX Relative Value Arbitrage Index. Credit and multi-strategy managers contributed the majority of the return, while volatility strategies were slightly negative and remained at near historic lows. 
  • Equity Hedge: The Wilshire Liquid Alternative Equity Hedge Index rose a strong 0.97%, outperforming the 0.87% return of the HFRX Equity Hedge Index – the only liquid alt measure tracked by Wilshire to do so. Long-biased and market neutral managers contributed positively to the month with 88 and 5 basis points of return, respectively, while short-biased managers detracted -3 basis points. Long-biased strategies benefited from positive contributions from the Information Technology and Telecommunications sectors, while growth strategies continued to materially outperform value-oriented ones.
  • Event Driven: The Wilshire Liquid Alternative Event Driven Index ended the month up 0.26%, significantly underperforming the 1.00% return of the HFRX Event Driven Index. Credit and merger arbitrage strategies contributed positively to the month with 16 and 6 basis points of return, respectively, while managers that were long credit risk benefited from the gain in high yield bonds. 

“Risk-assets rallied in July, providing a tailwind for equity and credit strategies,” said Jason Schwarz, president of Wilshire Funds Management, in a statement. “Long-biased equity strategies were the largest beneficiaries, as growth-oriented strategies outperformed fundamental value strategies. Meanwhile, credit-focused strategies across event-driven and relative value also benefited from further spread compression.”

The Wilshire Liquid Alternative Index family is a joint offering between Wilshire Funds Management and Wilshire Analytics, creator of the Wilshire 5000 Total Market Index. It aims to measure the performance of diversified liquid alternative investment strategies implemented in mutual fund structures.

Founded in 1972, Wilshire Associates is an independent investment consulting and services firm that provides plan sponsors, investment managers and financial intermediaries with a wide range of services. Its business units include Wilshire Analytics, Wilshire Consulting, Wilshire Funds Management and Wilshire Private Markets, and it is home to the Wilshire 5000 Total Market Index. Based in Santa Monica, California, the firm provides services to clients in more than 20 countries representing more than 500 organizations with assets totaling approximately $8 trillion.

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