The Wilshire Liquid Alternative Index, which provides a representative baseline for how the broad liquid alternative investment category performs, returned -6.33 per cent in March, underperforming the -5.88 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.
“Financial markets experienced extreme volatility as governments and global policy makers grappled with both a global pandemic as well as a supply and demand shock in oil,” says Jason Schwarz, Chief Operating Officer of Wilshire Associates.
The Wilshire Liquid Alternative Equity Hedge Index ended the month down -6.82 per cent, outperforming the HFRX Equity Hedge Index’s return of -9.58 per cent. For the quarter, the Wilshire Liquid Alternative Equity Hedge IndexSM returned -12.21 per cent, outperforming the HFRX Equity Hedge Index -13.33 per cent return. Equity hedge strategies experienced a significant decline as equity markets sold off amid the COVID-19 pandemic. A collapse in oil prices further exacerbated the situation following a production dispute between Russia and Saudi Arabia. Long-biased equity managers with either a growth or value-orientation were impacted during the quarter as market volatility skyrocketed.
The Wilshire Liquid Alternatives Event Driven Index ended the month down -5.65 per cent and the quarter down -6.00 per cent, underperforming the HFRX Event Driven Index’s monthly and quarterly returns of -5.48 per cent and -5.50 per cent, respectively. Performance was driven by M&A activity coming to an abrupt halt and spreads widening indiscriminately, reaching levels not seen since 2008.
The Wilshire Liquid Alternative Global Macro Index ended the month down -0.18 per cent and the quarter down -0.79 per cent, outperforming the HFRX Macro/CTA Index’s monthly and quarterly returns of -0.81 per cent and -1.18 per cent, respectively. CTAs benefited from their relatively diversified portfolios. Long positions in fixed income and the U.S dollar as well as shorts in the Energy sector and commodity-driven currencies helped offset losses incurred in equities.
The Wilshire Liquid Alternative Relative Value Index ended the month down -7.13 per cent and the quarter down -7.64 per cent, underperforming the HFRX Relative Value Arbitrage Index’s monthly and quarterly returns of -6.07 per cent and -5.44 per cent, respectively. Relative value credit managers were generally flat going into March, but then suffered substantial losses as credit began to fall across the quality spectrum and spreads widened dramatically. Convertible arbitrage managers also suffered as deleveraging expanded to most areas of the market.
