The Wilshire Liquid Alternative Index, which provides a representative baseline for how the broad liquid alternative investment category performs, returned 0.11 per cent in August, underperforming the HFRX Global Hedge Fund Index’s 0.16 per cent return by five basis points.
The Wilshire Liquid Alternative Multi-Strategy Index, which includes both single and multi-manager funds, ended the month relatively flat, returning 0.03 per cent in August.
The Wilshire Liquid Alternative Index family is a joint offering between Wilshire Funds Management, the global investment management business unit of Wilshire Associates Incorporated, and Wilshire Analytics, creator of the Wilshire 5000 Total Market Index.
The Wilshire Liquid Alternative Equity Hedge Index, which includes long/short equity and market neutral funds, declined 0.10 per cent 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. Market neutral strategies generally posted negative returns for the month.
In August, strategies with exposure to energy, financials, and information technology sectors benefited from the rally in oil prices and investors pricing in expectations of a potential interest rate increase in the near term.
The Wilshire Liquid Alternative Global Macro Index, which includes systematic, discretionary, commodity and currency funds, ended August down 1.11 per cent, lagging the HFRX Macro/CTA Index’s -0.98 per cent return. CTAs significantly detracted from the index as energy prices and fixed income prices reversed their previous trends.
“Discretionary managers, who maintained long equity exposure in June and July capitalised on the risk-on rally in August and contributed positively to the index,” says Jason Schwarz (pictured), president of Wilshire Funds Management. “Discretionary managers contributed 20 basis points for the month while Systematic strategies detracted 130 basis points.”
The Wilshire Liquid Alternative Event Driven Index, which includes credit, merger arbitrage and special situations funds, gained 0.64 per cent in August, underperforming the HFRX Event Driven Index by 11 basis points.
Merger arbitrage strategies were slightly positive in August, as long-biased corporate credit strategies continued to benefit from the recovery in leveraged capital structures, contributing 51 basis points to the index’s performance.
Special situation investments focused on energy added to performance and multi-strategy event managers experienced positive returns in the month, contributing 11 basis points to the index return.
The Wilshire Liquid Alternative Relative Value Index, which includes credit, convertible arbitrage and volatility funds, finished the month up 0.79 per cent, outperforming the HFRX Relative Value Arbitrage Index by 61 basis points. August performance was driven mostly by credit managers that took advantage of relatively stable credit spreads, contributing 69 basis points to the monthly return.
Convertible arbitrage, volatility and multi-strategy managers were flat to up in August, returning 10 basis points in aggregate for the month.