Wilshire Liquid Alts Index Down -0.13% in March, up 1.17% YTD

Apr 15 2015 | 10:58am ET

The Wilshire Liquid Alternative Index, which measures broader performance of the liquid alternative investment category, fell -0.13% in March, while the Wilshire Liquid Alternative Multi-Strategy Index, which includes both single and multi-manager funds, ended the month up 0.15% due to another strong month from global macro managers. 

Four of the index’s five components were in the red for the month, according to a press release. Equity hedge strategies, represented by the Wilshire Liquid Alternative Equity Hedge Index and including long/short equity and market neutral funds, returned -0.36% for the month. This was significantly below the HFRX Equity Hedge Index benchmark, which gained 0.60%.

Meanwhile, Wilshire’s Liquid Alternative Event Driven Index, which includes credit, merger arbitrage and special situations funds, ended the month down -0.15%. This result underperformed the HFRX Event Driven Index, which was up 0.35% for the month.

Although Event Driven funds were generally negative for the month, merger arbitrage funds did contribute positively, the release noted. 

The company’s Liquid Alternative Relative Value Index, which includes credit, convertible arbitrage and volatility funds, was down -0.41%, also underperforming its HFRX equivalent, was was up 0.22%.

On the positive side, Wilshire’s Liquid Alternative Global Macro Index, which includes systematic, discretionary, commodity and currency funds, ended the month up 0.98%, 27 basis points better than the HFRX Macro/CTA Index. Macro trends in the oil and currency markets have continued to drive gains in this segment.  

The macro index’s March gain was the tenth positive month in the last twelve.

Year to date, the broad Liquid Alternative Index is up 1.17%, while all five of its components are also the green: Multi-Strategy is up 2.05%, Global Macro up 3.98%, Equity Hedge up 0.37%, Relative Value up 0.65% and Event Driven up 0.80%.

The Wilshire Liquid Alternative Index returned 1.55% in 2014 and 4.09% in 2013. 

Launched in July 2014 by Santa Monica, Calif.-based Wilshire Associates, the Wilshire Liquid Alternative Index measures the collective performance of the five Wilshire Liquid Alternative strategies that make up the Wilshire Liquid Alternative Universe. Constituents are’40 Act funds categorized as a liquid alternative by Wilshire with at least six months of returns.


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