Wilshire Liquid Alternative Index Drops -1.03% in September

Oct 13 2015 | 6:18pm ET

Liquid alternatives outperformed the broader equity and bond markets as well as their hedge fund peers in September, according to new data from Wilshire Fund Management.  

Wilshire’s Liquid Alternative Index dropped -1.03% in September, while the firm’s Liquid Alternative Multi-Strategy Index, which includes both single and multi-manager funds, ended the month down -1.04%, according to a statement.

In comparison, the Wilshire 5000 Total Market Index declined -2.71% for the month, the Barclays Capital Aggregate Bond Index returned 0.68%, and HFRX Global Hedge Fund Index fell -2.07%. 

“All five liquid alternative sub-strategies outperformed their hedge fund counterpart for the month, led by event driven liquid alternative funds,” said Jason Schwarz, president of Wilshire Funds Management.

The Wilshire Liquid Alternative Event Driven Index, which includes credit, merger arbitrage and special situations funds, ended the month down -1.47%, significantly better than the -3.24% decline seen in the HFRX Event Driven benchmark. 

Wilshire’s Global Macro Index, which includes systematic, discretionary, commodity and currency funds, ended the period down -0.07%, 48 basis points above the HFRX Macro/CTA Index’s -0.55% loss. The majority of systematic CTA managers posted positive returns, while almost every discretionary manager was negative for the month. Systematic managers benefited from the sharp decline in fixed income yields, as well as the continued downward movement of commodity prices, noted Wilshire. 

Continuing the trend from last month, Wilshire observed a 5% spread between the best and worst performing discretionary managers, and a 10% spread between the best and worst performing CTA managers.

Wilshire’s Liquid Alternative Equity Hedge Index, which includes long/short equity and market neutral funds, was down -1.24% for the month, outperforming the HFRX Equity Hedge Index by over 80 basis points. The company attributed this result to the fact that alternative mutual funds tend to have less exposure to international and emerging markets and more of a focus on U.S. equity markets.

The Wilshire Liquid Alternative Relative Value Index℠, which includes credit, convertible arbitrage and volatility funds, finished the month down -1.09%, outperforming the HFRX Relative Value Arbitrage Index by nearly 100 basis points. High yield credit spreads widened for the second month in a row, resulting in losses for the majority of relative value managers. Volatility managers within the relative value space performed positively, with an average return of approximately 0.50%.

The company’s Wilshire Liquid Alternative index family aims to measure the performance of diversified liquid alternative investment strategies implemented in mutual fund structures.

Founded in 1972, Wilshire Associates is an independent investment consulting and services firm that provides plan sponsors, investment managers and financial intermediaries with a wide range of services. Its business units include Wilshire Analytics, Wilshire Consulting, Wilshire Funds Management and Wilshire Private Markets, and it is home to the Wilshire 5000 Total Market Index.


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