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Wilshire Liquid Alternative Index dips 0.13 per cent in March

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The Wilshire Liquid Alternative Index, which provides a representative baseline for how the broad liquid alternative investment category performs, returned -0.13 per cent in March.

The Wilshire Liquid Alternative Multi-Strategy Index meanwhile, which includes both single and multi-manager funds, ended the month up 0.15 per cent due to another strong month from global macro managers.

“With interest rates continuing to decline and equity markets remaining choppy, investors have been looking for alternative sources of return, resulting in nearly USD6 billion of inflows into liquid alternative global macro managers over the past six months,” says Jason Schwarz, president of Wilshire Funds Management. “Global macro managers have repeatedly exploited trends in the oil and currency markets, resulting in a 0.98 per cent return in March for the Wilshire Liquid Alts Global Macro Index. This is the 10th positive month in the last 12 months for the Index.”

Equity hedge strategies posted modestly negative returns in March, with the Wilshire Liquid Alternative Equity Hedge Index, which includes long/short equity and market neutral funds, returning -0.36 per cent for the month. The Wilshire Liquid Alternative Equity Hedge Index underperformed the HFRX Equity Hedge Index, which was up 0.60 per cent, by almost 100 basis points for the month. The Wilshire Liquid Alternative Global Macro Index, which includes systematic, discretionary, commodity and currency funds, ended the month up 0.98 per cent, outperforming the HFRX Macro/CTA Index which posted a 0.71 per cent return for the month. Within Global Macro, systematic managers that have benefitted from strong trends in the oil and currency markets continued to have success this month, outperforming their discretionary peers.

The Wilshire Liquid Alternative Event Driven Index, which includes credit, merger arbitrage and special situations funds, ended the month down 0.15 per cent. The Wilshire Liquid Alternative Event Driven Index underperformed the HFRX Event Driven Index, which was up 0.35 per cent for the month, by 50 basis points. Although Event Driven funds were generally negative for the month, merger arbitrage funds did contribute positively. The Wilshire Liquid Alternative Relative Value Indexâ„ , which includes credit, convertible arbitrage and volatility funds, finished the month down 0.41 per cent, while the HFRX Relative Value Arbitrage Index returned 0.22 per cent.

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