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Wilshire Liquid Alternative Index down 2.07 per cent in October

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The Wilshire Liquid Alternative Index, which provides a representative baseline for how the broad liquid alternative investment category performs, returned -2.07 per cent in October, largely underperforming the 1.04 per cent monthly return of 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.
 
“October was a volatile month as markets processed the potential impacts of rising interest rates, as well as the ongoing presence of global geopolitical risks,” says Jason Schwarz, President of Wilshire Funds Management and Wilshire Analytics.
 
The Wilshire Liquid Alternative Multi-Strategy Index, which includes both single and multi-manager funds, returned -2.77 per cent in October.
 
The Wilshire Liquid Alternative Global Macro Index ended the month down 2.31 per cent, slightly outperforming the -2.65 per cent return of the HFRX Macro/CTA Index.
 
Managed futures strategies generally performed poorly due to their long equity exposure heading into the month, while discretionary macro strategies performed well given their long USD positioning.
 
The Wilshire Liquid Alternative Relative Value IndexSM ended the month down 0.67 per cent, outperforming the -1.04 per cent return of the HFRX Relative Value Arbitrage Index.
 
Relative value losses resulted from weaker performance in both investment grade and high yield bonds, as corporate credit weakened alongside the equity pullback. Structured credit held up well throughout October’s risk asset sell-off despite some spread widening.
 
The Wilshire Liquid Alternative Equity Hedge IndexSM ended the month down 3.90 per cent, barely outperforming the -3.95 per cent return of the HFRX Equity Hedge Index.
 
Long-biased managers detracted from performance, driven by losses in growth and momentum stocks, like Technology and Consumer Discretionary.
 
Domestic strategies outperformed global strategies. Additionally, value-oriented strategies outperformed as rising interest rates caused growth equities to sell-off more than value stocks.
 
The Wilshire Liquid Alternative Event Driven Index ended the month down 1.02 per cent, outperforming the -4.57 per cent return of the HFRX Event Driven Index.
 
Merger arbitrage strategies were more resilient as idiosyncratic merger transactions were slightly impacted by the broader equity market declines.
 
Long credit risk also weathered the declines as leveraged credit markets, such as high yield bonds and loans, were moderately impacted by equity market concerns.
 
Exposure to structured credit assets, such as asset backed securities, was slightly positive during the month.

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