The Wilshire Liquid Alternative Index, which provides a representative baseline for how the broad liquid alternative investment category performs, returned 0.71 per cent in July, outperforming the -0.15 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.
“Risk assets gained on the continued economic momentum provided by corporate tax reform and reduced trade tensions between US and Europe,” says Jason Schwarz (pictured), President of Wilshire Funds Management and Wilshire Analytics. “Additionally, in a reversal of trends, value stocks outperformed growth.”
The Wilshire Liquid Alternative Multi-Strategy Index, which includes both single and multi-manager funds, returned 0.59 per cent in July.
The Wilshire Liquid Alternative Global Macro IndexSM ended the month up 0.14 per cent, outperforming the -1.10 per cent return of the HFRX Macro/CTA Index. Systematic strategies struggled as trend following managers continued to underperform.
The Wilshire Liquid Alternative Relative Value IndexSM ended the month up 0.50 per cent, outperforming the -0.05 per cent return of the HFRX Relative Value Arbitrage Index.
Credit managers benefited from exposure to asset backed securities, such as mortgages, and certain leveraged credits, such as loans and high yield bonds. Despite rising interest rates meanwhile, US investment grade corporate credits gained as credit spreads tightened in July.
The Wilshire Liquid Alternative Equity Hedge Index ended the month up 1.61 per cent, outperforming the 0.72 per cent return of the HFRX Equity Hedge Index.
Long-biased managers added positively to performance, driven by gains in fundamental growth strategies, while certain factor-based strategies underperformed in July. Domestic strategies outperformed global strategies as US markets rallied on continued positive economic growth. In a reversal of recent trends, value-oriented strategies outperformed growth strategies as financials and industrials outperformed and information technology lagged the broader index.
The Wilshire Liquid Alternative Event Driven IndexSM ended the month down -0.08 per cent, still outperforming the -0.54 per cent return of the HFRX Event Driven Index.
Merger arbitrage strategies detracted from performance as trade conflicts negatively impacted certain large merger transactions. Managers long credit risk meanwhile, gained in light of rising leveraged credit markets, such as low-rated high yield bonds and leveraged loans.