The Wilshire Liquid Alternative Index, which provides a representative baseline for how the broad liquid alternative investment category performs, returned 0.75 per cent in February, underperforming the 1.12 per cent monthly return for the HFRX Global Hedge Fund Index.
“We continued to observe large-cap stocks outperforming small-cap stocks, in addition to growth strategies outperforming value strategies. Deep-value credit strategies also continued to outperform as the leveraged credit markets rallied on the anticipated pro-growth policies of the new administration,” says Jason Schwarz (pictured), president of Wilshire Funds Management.
The Wilshire Liquid Alternative Multi-Strategy Index, which includes both single and multi-manager funds, returned 1.2 per cent in February.
The Wilshire Liquid Alternative Global Macro Index ended the month up 1.50 per cent, outperforming the HFRX Macro/CTA Index’s 1.18 per cent return.
CTAs contributed 135 basis points of return while discretionary global macro managers contributed 20 basis points of return and currency/commodity managers detracted -5 basis points of return.
The Wilshire Liquid Alternative Relative Value Index ended the month down 0.03 per cent, underperforming the HFRX Relative Value Arbitrage Index’s 0.62 per cent return.
Credit managers contributed 55 basis points of return, multi-strategy managers contributed 27 basis points, and convertible arbitrage managers contributed only five basis points.
An option-writing manager, which was one of the largest liquid alternative strategies, lost over 18 per cent in February and detracted the entire 84 basis points from the volatility space.
The Wilshire Liquid Alternative Equity Hedge Index ended the month up 1.06 per cent, modestly underperforming the HFRX Equity Hedge Index’s 1.17 per cent return.
Long-biased managers contributed 110 basis points to Index performance while market neutral and short-biased managers detracted 4 basis points of return.
Credit managers contributed 27 basis points while merger arbitrage strategies added 15 basis points, and multi-strategy managers added 6 basis points of return.
The Wilshire Liquid Alternative Event Driven Index ended the month up 0.49 per cent, underperforming the HFRX Event Driven Index’s 1.55 per cent return.
Credit managers contributed 27 basis points while merger arbitrage strategies added 15 basis points, and multi-strategy managers added 6 basis points of return.
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.