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Wilshire Liquid Alternative Index up 1.17 per cent in July

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The Wilshire Liquid Alternative Index, which provides a representative baseline for how the broad liquid alternative investment category performs, returned 1.17 per cent in July, underperforming the HFRX Global Hedge Fund Index’s 1.45 per cent return by 28 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 1.31 per cent in July.
 
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, gained 1.51 per cent in July, underperforming the HFRX Equity Hedge Index by 48 basis points. Long-biased equity managers were the largest positive contributors to monthly performance, adding 159 basis points, while market neutral and short-biased strategies detracted from the index’s return in July. Value-oriented managers and factor-based equity strategies also outperformed, as they benefited from exposure to the Information Technology, Materials and Healthcare sectors, which were materially positive in July.  
 
The Wilshire Liquid Alternative Global Macro Index, which includes systematic, discretionary, commodity and currency funds, ended July positively, returning 0.64 per cent and outperforming the HFRX Macro/CTA Index’s 0.30 per cent return. 
 
“The majority of managers captured the energy sell off as well as benefited from the equity rally after the sharp reversal post Brexit,” says Jason Schwarz (pictured), president of Wilshire Funds Management. “Discretionary managers, who had long equity exposure in June, also benefited from the risk-on rally in July, which contributed to a positive month for the index.” 
 
The Wilshire Liquid Alternative Event Driven Index, which includes credit, merger arbitrage and special situations funds, gained 0.98 per cent in July, underperforming the HFRX Event Driven Index by 139 basis points. Merger arbitrage strategies were slightly positive in the month and contributed eight basis points to the index’s return. Long-biased corporate credit strategies continued to benefit from the recovery in leveraged capital structures, contributing 64 basis points to the index’s performance in July. Multi-strategy event managers were also positive in the month and contributed 25 basis points to the index’s performance.
 
The Wilshire Liquid Alternative Relative Value Index, which includes credit, convertible arbitrage and volatility funds, finished the month up 1.15 per cent, outperforming the HFRX Relative Value Arbitrage Index by 32 basis points. July performance was largely driven by credit managers who took advantage of the declining prices and continued tightening of spreads in high yield, with the remaining returns coming from both convertible arbitrage and multi-strategy managers. 

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