Wilshire Liquid Alternative Index gains 0.31 per cent in October 2019
The Wilshire Liquid Alternative Index, which provides representative baseline for how the broad liquid alternative investment category performs, returned 0.31 per cent in October, in line with the 0.31 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, and Wilshire Analytics, creator of the Wilshire 5000 Total Market Index.
“October was a positive month for risk assets, with equities drifting higher on the back of softening geopolitical tensions and supportive central bank policy,” 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 0.25 per cent in October.
The Wilshire Liquid Alternative Index ended the month down -0.81 per cent, outperforming the -1.40 per cent return of the HFRX Macro/CTA Index. CTAs saw losses throughout the month, driven by the decline in fixed income and several reversals in commodity markets. Defensively positioned managers struggled as safe haven assets declined, while some managers found trading opportunities around geopolitical developments.
The Wilshire Liquid Alternative Relative Value Index ended the month up 0.38 per cent, outperforming the 0.32 per cent return of the HFRX Relative Value Arbitrage Index.
The Wilshire Liquid Alternative Equity Hedge Index ended the month up 0.71 per cent, outperforming the HFRX Equity Hedge Index which returned 0.52 per cent. Gains for the month were predominantly driven by Health Care and Information Technology sector exposures.
The Wilshire Liquid Alternative Event Driven Index ended the month up 0.37 per cent, underperforming the 1.25 per cent return of the HFRX Event Driven Index. Merger arbitrage strategies posted modest gains during the month as the upcoming election cycle hastened the need and desire to complete existing deals. Special situations strategies continued their streak of positive monthly performance as non-market driven risk exposures across the capital structure fared well.