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Wilshire Jason Schwarz

Wilshire Liquid Alternative Index up 0.36 per cent in June


The Wilshire Liquid Alternative Index, which provides a representative baseline for how the broad liquid alternative investment category performs, returned 0.36 per cent in June, outperforming the HFRX Global Hedge Fund Index’s 0.20 per cent return by 16 basis points.

The Wilshire Liquid Alternative Multi-Strategy Index, which includes both single and multi-manager funds, ended the month on a positive note, returning 0.34 per cent in June.
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.
The Wilshire Liquid Alternative Equity Hedge Index, which includes long/short equity and market neutral funds, declined 0.68 per cent in June, outperforming the HFRX Equity Hedge Index by 79 basis points. Long-biased value strategies underperformed this month, as did funds seeking to capitalise on low-volatility equities. Exposure to the consumer staples, utilities, and telecommunications services sectors were materially positive in June, as sectors with high-dividend payouts benefited from sharply declining interest rates. Market neutral strategies generally posted negative returns for the month.
The Wilshire Liquid Alternative Global Macro Index, which includes systematic, discretionary, commodity and currency funds, ended June positively, returning 2.31 per cent and significantly outperforming the HFRX Macro/CTA Index’s 1.00 per cent return. This was the largest monthly gain for the Index since its 2.60 per cent return in January 2015.
“With the Brexit vote concluding with a surprising ‘yes’, the US dollar significantly appreciated against the British pound and euro, and equity markets sold off,” says Jason Schwarz (pictured), president of Wilshire Funds Management. “This worked in favour of most CTA managers who had a defensive to neutral equity position and were long the US dollar versus most major currencies.
“Discretionary managers had mixed performance, as many managers were hurt by their long equity exposure but also benefited from their US dollar versus the euro and British pound positions.”
The Wilshire Liquid Alternative Event Driven Index, which includes credit, merger arbitrage and special situations funds, declined 0.18 per cent in June, underperforming the HFRX Event Driven Index by 155 basis points. Merger arbitrage strategies experienced mixed performance but were generally flat as a group. Special situation equity and credit strategies experienced the largest gains as they benefited from event-specific situations. Value-oriented corporate credit managers also performed well in June as the leveraged credit market continued to experience favourable supply/demand dynamics and a recovery in certain Energy sector names. Certain long/short corporate credit managers underperformed.
The Wilshire Liquid Alternative Relative Value Index, which includes credit, convertible arbitrage and volatility funds, finished the month up 0.42 per cent, outperforming the HFRX Relative Value Arbitrage Index by 15 basis points. June performance was driven by increased volatility, which stemmed from Brexit, the strengthening of US Treasuries, and tightening spreads in high yield.

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