Wilshire Liquid Alternative Index Slips 0.22% in November

Dec 11 2015 | 6:04pm ET

Liquid alternatives may have outperformed their hedge fund peers last month, but they still posted slightly negative returns, according to the latest data from Wilshire Funds Management.

The Wilshire Liquid Alternative Index, which provides a representative baseline for how the broad liquid alternative investment category performs, returned -0.22% in November, according to the company. Although in the red, the result compares well against the 0.72% loss posted by the benchmark HFRX Global Hedge Fund Index during the month. November’s slight drop comes after a solid 1.09% jump in October as global markets rebounded. 

Within Wilshire’s liquid alternative index family, the Wilshire Liquid Alternative Multi-Strategy Index, which includes both single and multi-manager funds, ended the month down -0.12%, while the firm’s Event Driven Index, which includes credit, merger arbitrage and special situations funds, declined -0.83%, outperforming the HFRX Event Driven Index, which was down -1.85%.

“Gains from merger arbitrage strategies were more than offset by credit strategies, which experienced drawdowns as lower quality corporate credits declined during the month,” said Jason Schwarz, president of Wilshire Funds Management, in a statement. 

The Wilshire Liquid Alternative Relative Value Index, which includes credit, convertible arbitrage and volatility funds, finished the month down -0.46%, significantly outperforming the  -2.25% performance for the HFRX Relative Value Arbitrage Index. 

High yield credit spreads widened in November, resulting in the majority of liquid alternative relative value managers losing money. The outperformance of relative value mutual funds versus their hedge fund counterparts can be attributed to the more diversified portfolios that liquid alternative relative value managers hold, said Wilshire.

Wilshire’s also noted that equity hedge strategies were mixed for the month, as gains from long-biased strategies were offset by softer performance in market neutral strategies. The largest negative contributing sectors were Utilities, Telecom, and Consumer Staples, down -2.1%, -1.3% and -1.1%, respectively. The Wilshire Liquid Alternative Equity Hedge Index, which includes long/short equity and market neutral funds, was down -0.45% for the month, underperforming the HFRX Equity Hedge Index, which was up 0.04%.

As with other measures of hedge fund performance, global macro funds tracked within Wilshire’s Liquid Alternative Global Macro Index ended November up 1.36%, 61 basis points below the HFRX Macro/CTA Index’s 1.97% gain. The index includes systematic, discretionary, commodity and currency funds. Wilshire observed that the majority of systematic CTA and discretionary managers posted positive returns for the month, while systematic managers benefited by the continued appreciation of the U.S. dollar and downward pressure on commodities.

The Wilshire Liquid Alternative Index family is a joint offering between Wilshire Funds Management and Wilshire Analytics, creator of the Wilshire 5000 Total Market Index. It 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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