Wilshire Liquid Alternative Index Gains 0.11% in August

Sep 13 2016 | 9:47pm ET

Liquid alternatives marginally underperformed their hedge fund brethren during August, according to new data from Wilshire Associates.

The Wilshire Liquid Alternative Index, which provides a representative baseline for how the broad liquid alternative investment category performs, returned 0.11% in August, narrowly underperforming the HFRX Global Hedge Fund Index’s 0.16% return by 5 basis points.

As with July’s results, performance from Wilshire’s five Liquid Alternative substrategy indices was mixed, with three in the green and two in the red for the month.

Wilshire’s Liquid Alternative Multi-Strategy Index, which includes both single and multi-manager funds, ended the month relatively flat at +0.03%.

The Wilshire Liquid Alternative Equity Hedge Index, which includes long/short equity and market neutral funds, dipped 0.10% in August, underperforming the HFRX Equity Hedge Index by 71 basis points. Long-biased equity managers experienced mixed performance, while gains from fundamental value strategies offset low-volatility and growth strategies and market neutral strategies generally posted negative returns for the month. 

Wilshire’s Liquid Alternative Global Macro Index, which includes systematic, discretionary, commodity and currency funds, ended August down 1.11%. The measure’s performance lagged the HFRX Macro/CTA Index’s -0.98% return as CTAs struggled with trend shifts in energy and fixed income.

“Discretionary managers, who maintained long equity exposure in June and July capitalized on the risk-on rally in August and contributed positively to the index,” said Jason Schwarz, president of Wilshire Funds Management. “Discretionary managers contributed 20 basis points for the month while Systematic strategies detracted 130 basis points.”

Meanwhile, the Wilshire Liquid Alternative Event Driven Index, which includes credit, merger arbitrage and special situations funds, gained 0.64% for the month, underperforming its benchmark HFRX Event Driven Index by 11 basis points. Merger arbitrage strategies were slightly positive, while special situation investments focused on energy added to performance and multi-strategy event managers experienced positive returns.

Wilshire’s Liquid Alternative Relative Value Index, which includes credit, convertible arbitrage and volatility funds, finished the month up 0.79%, solidly outperforming the HFRX Relative Value Arbitrage Index by 61 basis points. Performance was driven by credit managers taking advantage of relatively stable credit spreads, while convertible arbitrage, volatility and multi-strategy managers were flat to up.

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. Based in Santa Monica, California, the firm provides services to clients in more than 20 countries representing more than 500 organizations with assets totaling more than $7 trillion.

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