Wilshire Liquid Alternatives Index Down -0.34% in February

Mar 14 2016 | 10:54pm ET

Liquid alternatives kept pace with their hedge funds in March after solidly beating them in February, according to the latest data from Wilshire Funds Management.

The Wilshire Liquid Alternative Index dipped -0.34% in February, in-line with a return of -0.32% in the HFRX Global Hedge Fund Index, according to the company. The index provides a representative baseline for how the broad liquid alternative investment category performs.

Within Wilshire’s liquid alternative index family, the Wilshire Liquid Alternative Multi-Strategy Index, which includes both single and multi-manager funds, ended the month down -0.62%. Meanwhile, the Wilshire Liquid Alternative Equity Hedge Index, which includes long/short equity and market neutral funds, was down -0.30% for the month, outperforming the HFRX Equity Hedge Index by 82 basis points. 

Global long-biased strategies underperformed, while market neutral and value-oriented strategies were positive contributors. The largest negative contributions came from the Energy, Information Technology and Financials sectors, Wilshire said.

The Wilshire Liquid Alternative Relative Value Index, which includes credit, convertible arbitrage and volatility funds, finished the month down -0.74%, underperforming the HFRX Relative Value Arbitrage Index by 44 basis points.

“The majority of losses came from credit managers, while the positive contributions came from volatility managers who were able to capture returns when volatility spiked intra-month,” said Jason Schwarz, president of Wilshire Funds Management. “The first few weeks of the month saw high yield spreads widen to levels investors had not seen in years, though spreads sharply reversed mid-month and finished tighter than at the beginning of February.”

On a more positive note, the Wilshire Liquid Alternative Global Macro Index, which includes systematic, discretionary, commodity and currency funds, ended February up 0.91%, outperforming the HFRX Macro/CTA Index by 61 basis points. The majority of systematic CTA managers had a positive month due to continued short positions in equity and commodity markets. 

CTA managers did give back returns, however, when equity and commodity markets rallied mid-month, resulting in more muted and, for some managers, negative returns, according to Wilshire.

The company’s Liquid Alternative Event Driven Index, which includes credit, merger arbitrage and special situations funds, declined -0.08%, underperforming the HFRX Event Driven Index by 14 basis points. Value-oriented corporate credit strategies were the largest negative contributors, as lower quality corporate debt continued to experience a challenging trading environment. Merger arbitrage strategies, which trade on situation-specific merger transactions, were positive contributors during the month.

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 approximately US $8 trillion.

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