Wilshire Liquid Alternative Index Up +0.34% in April

May 10 2017 | 7:48pm ET

Liquid alternatives booked another positive month in April, mirroring their hedge fund brethren on the strength of multi-strategy and event-driven funds, according to new research from Wilshire Associates.  

The company’s Wilshire Liquid Alternative Index, which provides a representative baseline for how the broad liquid alternative investment category performs, returned 0.34% during the month following an essentially breakeven March. In comparison, the result underperformed the 0.42% monthly return of its comparable hedge fund benchmark, the HFRX Global Hedge Fund Index published by Hedge Fund Research. 

Four of five liquid alternative substrategy indexes were positive for the month. The details:

  • Equity Hedge: The Wilshire Liquid Alternative Equity Hedge Index ended the month up 0.42%, underperforming the HFRX Equity Hedge Index’s 0.72% return. Long-biased managers contributed 43 basis points to Index performance while market neutral and short-biased managers each detracted -1 basis point of return. Long-biased strategies benefited from rising equity markets with positive contributions from Information Technology and Consumer Discretionary investments.
  • Event Driven: The Wilshire Liquid Alternative Event Driven Index ended the month up 0.65%, underperforming the 0.70% return of the HFRX Event Driven Index. Credit managers contributed 28 basis points of return while merger arbitrage strategies added 23 basis points, and multi-strategy managers added 14 basis points of return.
  • Multi-Strategy: The Wilshire Liquid Alternative Multi-Strategy Index, which includes both single and multi-manager funds, returned 0.58% in April.
  • Global Macro: The Wilshire Liquid Alternative Global Macro Index ended April down -0.06%, outperforming the -0.07% return of the HFRX Macro/CTA Index. CTAs detracted -25 basis points of return while discretionary global macro managers contributed 15 basis points of return and currency/commodity managers contributed 3 basis points of return.
  • Relative Value: The Wilshire Liquid Alternative Relative Value Index gained 0.33%, outperforming the 0.20% return of the HFRX Relative Value Arbitrage Index. Credit managers contributed the entirety of the return while multi-strategy managers, convertible arbitrage, and volatility strategies were all slightly positive. While the Fed increased short-term rates, U.S. yields stayed relatively constant and high yield credit spreads slightly tightened. This led to modest positive performance from managers in the Credit space.

“April was a positive month for alternative strategies,” said Jason Schwarz, president of Wilshire Funds Management. “Long-biased equity strategies benefited from gains across global equity markets, with notable performance within emerging markets. Event driven and relative value strategies continued to benefit from being long credit risk, particularly within corporate bonds.”

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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