The Wilshire Liquid Alternative Index, which provides a representative baseline for how the broad liquid alternative investment category performs, returned 0.56 per cent in February, slightly underperforming the 0.63 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.
“February marked a continuation of the renewed risk appetite seen in January, propelling equity and credit assets higher, while the volatility index continued to decline,” says Jason Schwarz (pictured), President of Wilshire Funds Management and Wilshire Analytics.
The Wilshire Liquid Alternative Multi-Strategy Index, which includes both single and multi-manager funds, returned 0.83 per cent in February. The Wilshire Liquid Alternative Global Macro Index meanwhile, ended the month up 0.19 per cent, underperforming the 0.76 per cent return of the HFRX Macro/CTA Index.
CTAs were short equities going into the month due to the fourth quarter’s negative trend and were negatively impacted when markets quickly reversed to the upside, while discretionary macro managers delivered mixed returns, largely depending on the degree of long equity beta in portfolios.
The Wilshire Liquid Alternative Relative Value Index ended the month up 0.42 per cent, outperforming the 0.30 per cent return of the HFRX Relative Value Arbitrage Index. Credit-based strategy returns were generally positive on the month due to strong performances by U.S. and European high yield.
Structured credit managers, meanwhile, were also positive in February as credit and equity hedges muted their returns.
he Wilshire Liquid Alternative Equity Hedge IndexSM ended the month up 0.76 per cent, underperforming the 1.16 per cent return of the HFRX Equity Hedge Index. long-biased managers added positively to performance as volatility eased and equities rallied, while growth-oriented strategies outperformed value strategies during the month with Industrials and Information Technology investments as notable contributors.
The Wilshire Liquid Alternative Event Driven Index ended the month up 0.63 per cent, outperforming the -0.18 per cent return of the HFRX Event Driven Index. Merger arbitrage strategies contributed positively to performance in sympathy with the rise in equity markets, while exposure to lower rated high yield and leveraged loans helped relative performance after a return of risk appetite in the marketplace.
