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Wilshire Liquid Alternative Index up 1.59 per cent in January

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The Wilshire Liquid Alternative Index, which provides a representative baseline for how the broad liquid alternative investment category performs, returned 1.59 per cent in January, underperforming the 2.45 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 Incorporated, and Wilshire Analytics, creator of the Wilshire 5000 Total Market Index.
“The continued rally in equities led the Wilshire Liquid Alternative Global Macro IndexSM to its strongest monthly return since inception. CTAs led the charge and contributed the majority of this return, having captured the strong and long term upward trend in equity markets,” says Jason Schwarz (pictured), President of Wilshire Funds Management and Wilshire Analytics.
The Wilshire Liquid Alternative Multi-Strategy IndexSM, which includes both single and multi-manager funds, returned 1.54 per cent in January. The Wilshire Liquid Alternative Global Macro Index, meanwhile, ended the month up 2.74 per cent, underperforming the 3.80 per cent return of the HFRX Macro/CTA Index. CTAs contributed almost the entire return, 225 basis points, in January, while US equities were the strongest contributor for all managers, while all other asset classes and geographies delivered mixed performance.
Discretionary global macro contributed over 50 basis points of return, driven by equity markets and currency managers slightly detracted for the month.
The Wilshire Liquid Alternative Relative Value IndexSM ended the month up 0.63 per cent, underperforming the 1.09 per cent return of the HFRX Relative Value Arbitrage Index.
Credit and multi-strategy managers contributed the majority of the return, 47 basis points and 19 basis points of return, respectively, while volatility strategies detracted five basis points of return. Convertible arbitrage strategies also contributed positively to the return for the month.
Investment grade and high yield credit spreads tightened further, from 0.99 per cent down to 0.91 per cent for investment grade credits and from 3.63 per cent down to 3.29 per cent for high yield, while US treasury yields widened significantly, from 2.40 per cent to 2.72 per cent.
The Wilshire Liquid Alternative Equity Hedge IndexSM ended the month up 2.52 per cent, underperforming the 3.41 per cent return of the HFRX Equity Hedge Index.
Long-biased managers contributed 211 basis points of return while market neutral managers added 20 basis points of return, while long-biased strategies benefited from rising equity markets, with positive contributions coming from the Information Technology, Consumer Discretionary, Healthcare and Financials sectors. Growth-oriented strategies continued to outperform value-oriented strategies.
The Wilshire Liquid Alternative Event Driven Index ended the month up 0.87 per cent, underperforming the 1.76 per cent return of the HFRX Event Driven Index.
Credit strategies gained 31 basis points of return, while merger arbitrage strategies added 32 basis points of return, and multi-strategy event funds added 20 basis points of return.
Managers that were long credit risk contributed positively as credit spreads tightened, offering a favourable environment for merger arbitrage strategies and special situation equity positions.

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