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Wilshire Liquid Alternative Index up 0.92 per cent in June

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TheWilshire Liquid Alternative Index, which provides a representative baseline for how the broad liquid alternative investment category performs, returned 0.92 per cent in June, underperforming the 1.75 per cent monthly return of the HFRX Global Hedge Fund Index. 

TheWilshire Liquid Alternative Index, which provides a representative baseline for how the broad liquid alternative investment category performs, returned 0.92 per cent in June, underperforming the 1.75 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. 

“Markets rallied in the second quarter of 2020 due to ongoing Federal Reserve intervention and optimism surrounding the development of a Covid-19 vaccine, which continues to push markets back to pre-Covid levels,” says Jason Schwarz, Chief Operating Officer of Wilshire Associates. 

The Wilshire Liquid Alternative Equity Hedge IndexSM ended the month up 1.03 per cent, underperforming the HFRX Equity Hedge Index’s return of 2.21 per cent. For the quarter, the Wilshire Liquid Alternative Equity Hedge IndexSM returned 7.38 per cent, underperforming its HFRX counterpart’s return of 8.11 per cent. Equity markets experienced a “V”-like recovery from the Covid-19 induced March lows, with growth-oriented strategies with a “stay at home” focus outperforming for the quarter. On the back of the re-opening of economies worldwide, we observed temporary factor rotations towards value-oriented strategies in May and June. These were short lived as the United States experienced a spike in Covid-19 cases inducing a flight back to “stay at home” growth-oriented stocks. 

The Wilshire Liquid Alternatives Event Driven IndexSM ended the month up 0.87 per cent, underperforming the HFRX Event Driven Index’s monthly return of 2.67 per cent. For the quarter, the Wilshire Liquid Alternatives Event Driven IndexSM returned 5.16 per cent, underperforming the HFRX Event Driven Index’s return of 7.54 per cent. Performance for the quarter was driven by optimism surrounding M&A activity coupled with contracting spreads. 

The Wilshire Liquid Alternative Global Macro IndexSM ended the month down -0.56 per cent, underperforming the HFRX Macro/CTA Index’s monthly return of -0.29 per cent. For the quarter, the Wilshire Liquid Alternative Global Macro Index returned 0.64 per cent, outperforming the HFRX Macro/CTA Index’s return of 0.47 per cent. CTAs experienced a muted quarter as managers de-risked following a volatile first quarter. Reversals across most asset classes limited trend followers’ ability to capture any directional upside. Discretionary strategies had a mildly positive quarter, maintaining shorter time horizons and tactically trading based on sentiment. 

The Wilshire Liquid Alternative Relative Value IndexSM, ended the month up 1.30 per cent and the quarter up 6.25 per cent, underperforming the HFRX Relative Value Arbitrage Index’s monthly and quarterly return of 1.76 per cent and 6.91 per cent, respectively. Relative value credit managers enjoyed a strong quarter as the Fed began buying corporate debt, leading spreads to tighten. Spread and volatility compression created a favourable environment for convertible arbitrage managers during the quarter. 

The Wilshire Liquid Alternative Multi-Strategy Index, which includes both single and multi-manager funds, returned 0.88 per cent in June and 5.00 per cent for the quarter.

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