Wilshire Liquid Alternative Index Gains 0.36% in June

Jul 12 2016 | 11:58pm ET

Liquid alternatives kept pace with their hedge fund brethren during June, according to new data from Wilshire Associates.

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

Results from Wilshire’s four Liquid Alternative substrategy indices were mixed, with two posting positive results and two negative. 

Wilshire’s Liquid Alternative Multi-Strategy Index, which includes both single and multi-manager funds, returned 0.34%.

The Wilshire Liquid Alternative Equity Hedge Index, which includes long/short equity and market neutral funds, declined 0.68% in a very tumultuous June for equities. Nonetheless, the measure outperformed the HFRX Equity Hedge Index by 79 basis points. Within the equity hedge category, long-biased value strategies underperformed this month, as did funds seeking to capitalize on low-volatility equities, according to Wilshire, while 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, returned 2.31%. This result underscored the ability of CTAs to successfully navigate June’s Brexit-related volatility, and outperformed the HFRX Macro/CTA Index’s 1.00% return.

June’s result was also the largest monthly gain for the company’s Macro index since its 2.60% return in January 2015.

“With the Brexit vote concluding with a surprising ‘yes’, the U.S. dollar significantly appreciated against the British pound and euro, and equity markets sold off,” said Jason Schwarz, president of Wilshire Funds Management. “This worked in favor of most CTA managers, who had a defensive to neutral equity position and were long the U.S. dollar versus most major currencies.”

“Discretionary managers had mixed performance,” he added. “Many managers were hurt by their long equity exposure, but also benefited from their U.S. dollar versus the euro and British pound positions.”

Wilshire’s Liquid Alternative Event Driven Index, which includes credit, merger arbitrage and special situations funds, dipped 0.18% in June, significantly underperforming the HFRX Event Driven Index by 155 basis points. Merger arbitrage strategies were generally flat, the company said, while special situation equity and credit strategies experienced the largest gains as they benefited from event-specific situations. 

The Wilshire Liquid Alternative Relative Value Index, which includes credit, convertible arbitrage and volatility funds, finished the month up 0.42%, outperforming the HFRX Relative Value Arbitrage Index by 15 basis points. June performance was driven by increased volatility stemming from Brexit, the strengthening of U.S. Treasuries, and tightening spreads in high yield.

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 more than $7 trillion.

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