Wilshire Liquid Alternative Index Gains +0.38% in August

Sep 12 2017 | 8:57pm ET

Liquid alternatives rose again in August as financial markets maintained a risk-on stance, according to new data from Wilshire Associates, led by multi-strategy and global macro strategies.

The company’s Wilshire Liquid Alternative Index, which provides a representative baseline for how the broad liquid alternative investment category performs, gained +0/38% during the month, following July’s +0.67%. The measure outperformed the traditional hedge fund space, which earned +0.29% as measured by the benchmark HFRX Global Hedge Fund Index published by Hedge Fund Research. 

Four of Wilshire’s five liquid alternative substrategy indexes were positive for the month. The highlights: 

  • Multi-Strategy: The Wilshire Liquid Alternative Multi-Strategy Index, which includes both single and multi-manager funds, returned +0.67% in August.
  • Global Macro: The Wilshire Liquid Alternative Global Macro Index ended the month up +0.64%, underperforming the +0.76% return of the HFRX Macro/CTA Index. CTAs and discretionary global macro managers contributed 70 and 9 basis points of return, respectively, while currency managers detracted 15 basis points of return. Bonds, interest rates, and commodities also contributed positively to the return, while equity and currency performance was mixed. This was notably a divergence from previous months this year in which performance was driven solely by positive equity performance.
  • Relative Value:  The Wilshire Liquid Alternative Relative Value Index ended the month up +0.29%, outperforming the -0.05% return of the HFRX Relative Value Arbitrage Index.  Credit and multi-strategy managers contributed the majority of the return, while volatility strategies were slightly negative and remained at near historic lows.  Investment grade and high yield credit spreads reversed course from the last few months, widening sharply midway through August.
  • Equity Hedge: The Wilshire Liquid Alternative Equity Hedge Index ended the month up +0.35%, underperforming the +0.50% return of the HFRX Equity Hedge Index. Long-biased and market neutral managers contributed 21 and 9 basis points of return, respectively. Long-biased strategies benefited from rising equity market, with positive contributions from Information Technology, Healthcare and Utilities sector investments. Meanwhile, managers with exposure to the Energy and Financials sectors underperformed.
  • Event Driven: The Wilshire Liquid Alternative Event Driven Index ended the month down -0.30%, underperforming the +0.08% return of the HFRX Event Driven Index. Credit strategies were positive, contributing 20 basis points of return, while merger arbitrage strategies ended the month flat. Managers that were long credit risk underperformed as lower-rated corporate credits lagged for the month.

“Capital markets were mixed in August, mirroring heightened geo-political tensions and some mixed economic data,” said Jason Schwarz, President of Wilshire Funds Management. “As a result, investors sought safe-haven assets such as U.S. Treasuries and gold, while reducing exposures to risk-on assets such as lower-rated corporates. Within equity markets, we continued to observe growth-oriented investments outperforming their value-oriented counterparts such as those in the financials and energy sectors.”

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 $8 trillion.

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