Wilshire Liquid Alternative Index Gains +0.59% in January

Feb 13 2017 | 7:11pm ET

Liquid alternatives mirrored the generally positive returns experienced by their hedge fund brethren in January, according to new research from Wilshire Associates.

The Wilshire Liquid Alternative Index, which provides a representative baseline for how the broad liquid alternative investment category performs, gained +0.59% during the month, the company said in a statement. The result outperformed the +0.50% monthly return enjoyed by its comparable hedge fund industry benchmark, the HFRX Global Hedge Fund Index published by Hedge Fund Research. 

Four of the five Wilshire liquid alternative substrategy indices were positive during the month:

  • Global Macro: The Wilshire Liquid Alternative Global Macro Index ended the month down -0.17%, outperforming the HFRX Macro/CTA Index’s -0.95% return. CTAs contributed -30 basis points of return while discretionary global macro managers contributed 10 basis points of return and currency/commodity managers contributed the remaining 3 basis points of return, the company said.  
  • Relative Value: The Wilshire Liquid Alternative Relative Value Index ended the month up 0.78%, outperforming the HFRX Relative Value Arbitrage Index’s 0.63% return. Credit managers contributed the majority of the monthly returns while multi-strategy and volatility managers contributed positively as well.
  • Equity Hedge: The Wilshire Liquid Alternative Equity Hedge Index ended the month up 0.80%, modestly underperforming the HFRX Equity Hedge Index’s 0.85% return. Long-biased managers contributed 90 basis points to index performance, while market neutral and short-biased managers detracted 5 basis points and 2 basis points, respectively. Fundamental growth-oriented managers were notably positive this month.
  • Event Driven: The Wilshire Liquid Alternative Event Driven Index ended the month up 0.38%, underperforming the HFRX Event Driven Index’s 1.05% return. Credit managers contributed 24 basis points while multi-strategy event managers added 15 basis points to Index performance. Merger arbitrage strategies were generally flat this month. Deep value credit managers lead performance as the high yield bond market continued to rally in January, Wilshire said. 
  • Multi-Strategy: The Wilshire Liquid Alternative Multi-Strategy Index, which includes both single and multi-manager funds, returned 0.76% in January.

“Due to the perceived optimism that Trump and the Republican Party bring to the economy, credit managers in both relative value and event driven strategies led performance in January as the high yield bond market continued to rally,” said Jason Schwarz, President of Wilshire Funds Management, in a statement.

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.

In Depth

PAAMCO: Will Inflation Deflate the Asset Bubble?

Jan 30 2018 | 9:49pm ET

As the U.S. shifts from monetary stimulus to fiscal stimulus, market pricing should...


CFA Institute To Add Computer Science To Exam Curriculum

May 24 2017 | 9:25pm ET

Starting in 2019, financial industry executives sitting for the coveted Chartered...

Guest Contributor

Boost Hedge Fund Marketing ROI By Raising Your ROO

Feb 14 2018 | 9:57pm ET

Tasked with delivering returns on client capital, a common dilemma for many alternative...