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Wilshire Liquid Alternative Index down 0.10 per cent in November

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The Wilshire Liquid Alternative Index, which provides a representative baseline for how the broad liquid alternative investment category performs, returned -0.10 per cent in November, outperforming the -0.62 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.
 
“Markets experienced mixed performance in November as equities rebounded and credit markets generally declined,” says Jason Schwarz (pictured), President of Wilshire Funds Management and Wilshire Analytics. “Markets closely monitored the potential impacts of strained trade relations, declining oil prices, and future monetary policy communications.”
 
The Wilshire Liquid Alternative Multi-Strategy Index, which includes both single and multi-manager funds, returned -0.17 per cent in November. The Wilshire Liquid Alternative Global Macro Index, meanwhile, ended the month down -0.66 per cent, underperforming the -0.19 per cent return of the HFRX Macro/CTA Index. CTA’s led the index’s negative return due to the choppy equity market environment, without meaningful trends in most other asset classes, while Discretionary macro managers generally performed well given the heightened volatility environment.
 
The Wilshire Liquid Alternative Relative Value Index ended the month down -0.18 per cent, outperforming the -0.66 per cent return of the HFRX Relative Value Arbitrage Index. Credit markets saw spread widening and retail outflows, particularly in the leveraged loan space, while managers with exposure to the high yield energy sector tended to fare worse than peers.

The Wilshire Liquid Alternative Equity Hedge Index ended the month up 0.30 per cent, outperforming the -0.63 per cent return of the HFRX Equity Hedge Index. Long-biased managers added positively to performance, driven by gains in domestic equity positions as certain factor-based strategies underperformed for the month, while domestic strategies outperformed global strategies as US markets rallied and European equities declined, and value-oriented strategies outperformed growth strategies as Information Technology traded down for the month.

The Wilshire Liquid Alternative Event Driven IndexSM ended the month up 0.38 per cent, outperforming the -0.88 per cent return of the HFRX Event Driven Index. Merger arbitrage strategies contributed positively to performance as several notable transactions received Chinese regulatory approval, while managers long credit risk declined as low-rated high yield bonds and leveraged loans traded down due to weaker energy prices and future concerns around future economic growth.

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