Wilshire Liquid Alternative Index Gains +1.09% in October

Nov 16 2015 | 8:08pm ET

Liquid alternatives reflected the same broad market rebound in October as their traditional hedge fund peers, although to varying degrees, according to recent data from Wilshire Funds Management. 

Wilshire’s Liquid Alternative Index, which provides a representative baseline for how the broad liquid alternative investment category performs, returned 1.09% during the month. Within the index family, five of Wilshire’s six sub-strategy indices were positive in October. The Wilshire Liquid Alternative Multi-Strategy Index, which includes both single and multi-manager funds, ended the month up 1.33%, and the Wilshire Liquid Alternative Equity Hedge Index (which includes long/short equity and market neutral funds) gained 1.96%. 

October’s positive performance was the second highest monthly performance for the Equity Hedge measure since emerging from the Great Recession of 2008.

Meanwhile, the Wilshire Liquid Alternative Global Macro Index (which includes systematic, discretionary, commodity and currency funds) ended October down -0.41%, 53 basis points above Hedge Fund Research’s benchmark HFRX Macro/CTA Index’s -0.94% loss. 

“The majority of systematic CTA managers posted negative returns due to the sharp reversal in trends from previous months, while almost every discretionary manager was positive for the month,” said Jason Schwarz, president of Wilshire Funds Management, in a statement.

“We continue to see significant dispersion in the global macro space between the best and worst performing managers, which enforces the need for skillful manager due diligence in the liquid alternatives space,” he added.

Year to date, all of Wilshire’s liquid alternative indices are in the red, led by a loss of 2.50% in the Wilshire Liquid Alternative Equity Hedge Index. 

Wilshire’s Liquid Alternative Event Driven Index, which includes credit, merger arbitrage and special situations funds, generated a positive return of 1.02%, underperforming the HFRX Event Driven Index, which was up 2.23%, by 121 basis points. The overweight exposure to merger arbitrage deals that mutual funds tend to have versus their hedge fund peers dampened their participation in the equity market rally. 

The Wilshire Liquid Alternative Relative Value Index, which includes credit, convertible arbitrage and volatility funds, finished the month up 0.92% as high yield credit spreads tightened in October, which resulted in gains for the majority of relative value managers, though hedge funds benefitted more than their liquid alternative peers.

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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