The Wilshire Liquid Alternative Index, which provides a representative baseline for how the broad liquid alternative investment category performs, returned 0.14 per cent in September, underperforming the 0.45 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.
The Wilshire Liquid Alternative Equity Hedge Index returned 0.86 per cent and 0.57 per cent in September and the third quarter, respectively. The Index underperformed the HFRX Equity Hedge Index’s monthly and quarterly returns of 0.88 per cent and 1.79 per cent, respectively. Long short equity managers made the most of their gains in the first and last months of the quarter as geopolitical and macroeconomic factors drove risk-on/risk-off behaviour, negatively impacting fundamental strategies. U.S.-focused strategies outperformed global peers and factor-based strategies posted mixed performance as certain factors experienced elevated volatility. Growth-oriented managers underperformed their value-oriented peers, largely a function of significant losses in September.
The Wilshire Liquid Alternative Event Driven IndexSM returned 0.20 per cent and 1.05 per cent in September and the third quarter, respectively, underperforming the HFRX Event Driven Index’s monthly and quarterly returns of 1.18 per cent and 1.74 per cent, respectively. Event driven managers generally benefitted from long exposure to both equity and leveraged credit markets, while merger arbitrage strategies had a relatively quiet, but positive quarter. Corporate activity has remained robust relative to prior years, but announced and definitive deal volumes have declined precipitously at quarter end.
