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Wilshire Liquid Alternative Index down 1.99 per cent in February

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The Wilshire Liquid Alternative Index, which provides a representative baseline for how the broad liquid alternative investment category performs, returned -1.99 per cent in February, underperforming the -1.44 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 US equities reached all-time highs in mid-February, markets sold off precipitously towards the latter half of the month, erasing the gains and finishing the month down over 8 per cent,” says Jason Schwarz, Chief Operating Officer of Wilshire Associates. “The sell-off was fuelled by the spread of COVID-19 across multiple regions, as well as general uncertainty around the impact of the virus on the broader economy.”

The Wilshire Liquid Alternative Multi-Strategy Index, which includes both single and multi-manager funds, returned -2.53 per cent in February.
 
The Wilshire Liquid Alternative Global Macro IndexSM ended the month down -0.55 per cent, outperforming the HFRX Macro/CTA Index’s return of -1.19 per cent.

CTA losses stemmed from reversals in equities, currencies, and several commodity contracts. While CTAs maintained long bond exposure, the movement down in equities was disproportionate to price action in bonds and other diversifying positions.

The Wilshire Liquid Alternative Relative Value IndexSM ended the month down -0.60 per cent, underperforming the HFRX Relative Value Arbitrage Index’s return of -0.01 per cent.

Relative value credit managers posted muted returns for the month, driven by mixed performance in global fixed income. Treasuries rallied while credit, especially high yield, struggled.

Convertible arbitrage strategies held up on a relative basis as these strategies benefited from heightened volatility.

The Wilshire Liquid Alternative Equity Hedge Index ended the month down -4.68 per cent, underperforming the HFRX Equity Hedge Index’s return of -3.83 per cent.

Equity hedge strategies generally suffered as COVID-19 fears fueled an extremely sharp sell-off in the latter half of the month.

Fundamental growth and value managers performed poorly, driving a majority of the losses for the Index. Quantitative and market neutral managers were also challenged due to heightened volatility and deleveraging.
 
The Wilshire Liquid Alternatives Event Driven IndexSM ended the month down -0.64 per cent, underperforming the HFRX Event Driven Index’s return of -0.53 per cent.

Special situations equity and merger arbitrage strategies were responsible for the moderate decline as global corporate activity suffered.

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