The Wilshire Liquid Alternative Index, which provides a representative baseline for how the broad liquid alternative investment category performs, returned 0.59 per cent in January, outperforming the 0.50 per cent monthly return for the HFRX Global Hedge Fund Index.
The Wilshire Liquid Alternative Index family is a joint offering between Wilshire Funds Management, the global investment management business unit of Wilshire Associates Incorporated, and Wilshire Analytics, creator of the Wilshire 5000 Total Market Index.
“Due to the perceived optimism that Trump and the Republican party bring to the economy, credit managers in both relative value and event driven strategies led performance in January as the high yield bond market continued to rally,” says Jason Schwarz (pictured), President of Wilshire Funds Management.
The Wilshire Liquid Alternative Multi-Strategy Index, which includes both single and multi-manager funds, returned 0.76 per cent in January.
The Wilshire Liquid Alternative Global Macro Index meanwhile, ended the month down -0.17 per cent, outperforming the HFRX Macro/CTA Index’s -0.95 per cent return, while CTAs contributed -30 basis points of return while discretionary global macro managers contributed 10 basis points of return and currency/commodity managers contributed the remaining three basis points of return.
The Wilshire Liquid Alternative Relative Value Index ended the month up 0.78 per cent, outperforming the HFRX Relative Value Arbitrage Index’s 0.63 per cent return, with credit managers contributing the majority of the monthly returns while multi-strategy and volatility managers contributed positively as well.
The Wilshire Liquid Alternative Equity Hedge Index ended the month up 0.80 per cent, modestly underperforming the HFRX Equity Hedge Index’s 0.85 per cent return. Long-biased managers contributed 90 basis points to Index performance while market neutral and short-biased managers detracted 5 basis points and 2 basis points, respectively, while fundamental growth-oriented managers were notably positive this month.
The Wilshire Liquid Alternative Event Driven Index ended the month up 0.38 per cent, underperforming the HFRX Event Driven Index’s 1.05 per cent return. Credit managers contributed 24 basis points while multi-strategy event managers added 15 basis points to Index performance. Merger arbitrage strategies were generally flat this month. Deep value credit managers led performance as the high yield bond market continued to rally in January.
