Wilshire Liquid Alternative Index down 0.31 per cent in January
The Wilshire Liquid Alternative Index, which provides a representative baseline for how the broad liquid alternative investment category performs, returned -0.31 per cent in January, underperforming the 0.41 per cent monthly return of the HFRX Global Hedge Fund Index.
The Wilshire Liquid Alternative Index family aims to deliver precise market measures for the performance of diversified liquid alternative investment strategies implemented through mutual fund structures, backed by a proprietary classification methodology.
“After a positive start to the year, equity markets experienced a heightened degree of volatility stemming from the coronavirus outbreak in China, which also contributed to a significant Energy sector sell-off and bond rally during the month,” 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 -0.26 per cent in January.
The Wilshire Liquid Alternative Global Macro Index ended the month down -0.06 per cent, underperforming the 0.82 per cent return of the HFRX Macro/CTA Index.
CTAs were generally positive in January, primarily driven by long fixed income positions as bonds rallied throughout the month. Manager performance was mixed, driven by allocations to equities and commodities.
The Wilshire Liquid Alternative Relative Value IndexSM returned 0.05 per cent in January, underperforming the 0.68 per cent return of the HFRX Relative Value Arbitrage Index.
Credit-focused managers posted generally positive results across the government, corporate and securitised sectors. A handful of managers were negatively impacted as the high yield sector underperformed during the month.
Convertible arbitrage managers posted positive returns, benefitting from heightened equity market volatility.
The Wilshire Liquid Alternative Equity Hedge IndexSM ended January down -1.15 per cent, underperforming the HFRX Equity Hedge Index’s -0.33 per cent return.
Factor-based strategies experienced mixed performance, with growth-oriented managers performing positively, while their value-oriented peers underperformed.
Fundamental long-short equity strategies with a US focus outperformed their European and Asia focused counterparts.
The Wilshire Liquid Alternative Event Driven Index returned 0.27 per cent in January, underperforming the HFRX Event Driven Index’s return of 0.51 per cent.
Merger Arbitrage managers experienced a flat month as the environment for hard catalyst trades continued to be benign.
Corporate Credit managers performed positively during the month, with spreads largely stable to tighter throughout the month.