Wilshire Liquid Alternative Index℠ returns -0.52% in May

Santa Monica, Calif., June 14, 2023 – The Wilshire Liquid Alternative Index^SM, which provides a representative baseline for how the broad liquid alternative investment category performs, returned -0.52% in May, underperforming a -0.46% monthly return for the HFRX Global Hedge Fund Index. The Wilshire Liquid Alternative Index family aims to deliver precise market measures for the performance of diversified liquid alternative investment strategies implemented through mutual fund structures, backed by a proprietary classification methodology.

Equity markets demonstrated resilience in May, despite concerns over the U.S. debt ceiling negotiations and regulatory anti-trust interferences. Narrow volatility and a noticeable tilt towards AI-focused speculative investments were notable positive market drivers.

The Wilshire Liquid Alternative Equity Hedge Index^SM ended the month down -0.43%, underperforming the HFRX Equity Hedge Index’s return of 0.29%.

• Funds with exposure to the AI sector notably outperformed in May, while Asia-based managers, particularly those focused on China, underperformed. Domestic business activity remains strong and the labor markets remain tight, with unemployment falling to a 53-year low of 3.4%. The S&P 500 finished slightly positive for the month, with year-to-date performance just above 9%.

The Wilshire Liquid Alternatives Event Driven Index^SM ended the month down -1.51%, outperforming the HFRX Event Driven Index’s monthly return of -2.63%.

• Event-driven managers faced a challenging month, particularly those in merger arbitrage. The regulatory decisions to block deals, such as the Horizon Pharma/Amgen merger, and the failure of the First Horizon/Toronto Dominion deal, resulted in significant losses for the sector. Overall, merger spreads widened and mid-cap index multiples traded down.

The Wilshire Liquid Alternative Multi-Strategy Index^SM, which includes both single- and multi-manager funds, returned -1.08% in May.

The Wilshire Liquid Alternative Global Macro Index^SM ended the month up 0.98%,outperforming the HFRX Macro/CTA Index’s monthly return of 0.89%.     

• Global macro managers experienced generally positive returns in May. Short positions in the euro and commodities resulted in gains as the dollar index regained strength and commodity markets, outside of lumber and lithium, declined during the month. Some managers saw positive returns generated from long positions in emerging-market bonds, notably Turkey, Brazil and Tunisia.  

The Wilshire Liquid Alternative Relative Value Index^SM ended the month down -0.52%, underperforming the HFRX Relative Value Arbitrage Index’s monthly return of 0.03%.

• Relative value managers enjoyed a mixed month, with positive technology volatility being met with continued banking and energy volatility. Credit markets remained relatively strong despite Federal Reserve rhetoric remaining hawkish.

About Wilshire

Wilshire is a global provider of market-leading indexes, advanced analytics, and multi-asset investment solutions. A trusted partner toa diverse range of more than 500 leading institutional investors and financial intermediaries, our clients rely on us to improve investment outcomes for a better future. Wilshire advises on over $1.3 trillion in assets and manages $86 billion in assets and is headquartered in the United States with offices worldwide.

More information on Wilshire can be found at www.wilshire.com.

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