Wilshire Liquid Alternative Index Gains +0.06% in March

Apr 12 2017 | 11:27pm ET

Liquid alternatives rose in March along with their traditional hedge fund brethren, 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, returned 0.06% in March, the company said. While not much better than breakeven, the measure still outperformed the 0.03% return booked during the month by its comparable hedge fund industry benchmark, the HFRX Global Hedge Fund Index published by Hedge Fund Research.

Three of five liquid alternative substrategy indexes were positive for the month. The details:

  • Equity Hedge: The Wilshire Liquid Alternative Equity Hedge Index, which includes long/short equity and market neutral funds, gained 0.05% in March and 1.93% for the first quarter in 2017, underperforming the HFRX Equity Hedge Index by 61 basis points and 77 basis points, respectively. Long-biased equity managers were the largest contributors to the index’s performance, as equity markets gained in every month throughout the quarter. Fundamental growth strategies continued to outperform value-oriented strategies, as the S&P Growth Index outperformed the S&P Value Index by 490 basis points during the quarter.
  • Global Macro: The Wilshire Liquid Alternative Global Macro Index, which includes systematic, discretionary, commodity and currency funds, ended March negatively, returning -0.16%, but ended the first quarter positively, returning 1.17%, outperforming both the HFRX Macro/CTA Index’s -0.97% March return and -0.76% quarterly return. Discretionary managers consistently performed throughout the quarter, taking advantage of the strong equity markets globally and navigating the energy markets and the Fed’s interest rate hike on March 15th. Currency managers also contributed positively to the index’s quarterly performance.
  • Event Driven: The Wilshire Liquid Alternative Event Driven Index, which includes credit, merger arbitrage and special situations funds, ended March down -0.07% and returned 0.78% in the first quarter, underperforming the HFRX Event Driven Index by 40 basis points and 216 basis points, respectively. Credit managers were the largest contributors to index performance as corporate credit markets experienced positive market technicals and price appreciation, most notably within January and February. Merger arbitrage strategies were positive as a group.
  • Relative Value: The Wilshire Liquid Alternative Relative Value Index, which includes credit, convertible arbitrage and volatility funds, finished the month up 0.19%, outperforming the HFRX Relative Value Arbitrage Index, which returned -0.24%. The first quarter performance was more in line, as the Relative Value Index returned 1% versus the HFRX Index, which returned 1.02%. During the first quarter, credit managers were able to take advantage of spread compression in both investment grade and high yield markets. Multi-strategy and convertible arbitrage managers also performed positively throughout the quarter. Volatility managers were the only detractors from performance in the relative value space. 
  • Multi-Strategy: The Wilshire Liquid Alternative Multi-Strategy Index, which includes both single and multi-manager funds, returned 0.08% in March.

“For the quarter, systematic, discretionary and currency strategies all contributed positively to the Index, while CTAs showed negative performance for January and March, detracting from a strong February” 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.


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