Wilshire Liquid Alternative Index Gains +0.32% in November

Dec 15 2017 | 9:44pm ET

Liquid alternatives continued to broadly outperform their hedge fund brethren in November, according to new data from Wilshire Associates, driven primarily by long-biased equity strategies. 

The company’s Wilshire Liquid Alternative Index, which provides a representative baseline for how the broad liquid alternative investment category performs, gained +0.32% during the month, beating the 0.07% monthly return posted by the benchmark HFRX Global Hedge Fund Index published by Hedge Fund Research.

Three of Wilshire’s five liquid alternative substrategy indexes were in the green for November. Details:

  • Multi-Strategy: The Wilshire Liquid Alternative Multi-Strategy Index, which includes both single and multi-manager funds, returned +0.44% in November.
  • Global Macro: The Wilshire Liquid Alternative Global Macro Index ended November +0.38% outperforming the -0.15% return of the HFRX Macro/CTA Index. CTAs, discretionary macro managers and currency managers all contributed positively this month, with the largest contribution coming from CTAs. U.S. equities were the sole consistent outperformer across managers, while all other asset classes and geographies had mixed performance depending on the length of managers’ signals.
  • Relative Value: The Wilshire Liquid Alternative Relative Value Index ended the month down -0.06%, still outperforming the -0.25% return of the HFRX Relative Value Arbitrage Index.  Credit and multi-strategy managers contributed 7 basis points and 6 basis points, respectively, while convertible arbitrage strategies also contributed positively for the month. Volatility strategies detracted significantly as volatility continued to be subdued. Investment grade and high yield credit spreads remained relatively flat, while U.S. Treasury yields widened slightly from 2.38% to 2.41%.
  • Equity Hedge: The Wilshire Liquid Alternative Equity Hedge Index ended the month up +0.97%, outperforming the 0.87% return of the HFRX Equity Hedge Index. Long-biased managers contributed 92 basis points of return, with broad-based contributions from the Telecommunications Services, Consumer Staples, Consumer Discretionary and Financials sectors. Domestic equity managers outperformed managers focused on emerging and European markets, while value-oriented equity strategies outperformed growth-focused ones.
  • Event Driven: The Wilshire Liquid Alternative Event Driven Index fell -0.48%, underperforming the -0.35% return of the HFRX Event Driven Index.  Credit strategies detracted 12 basis points of return, merger arbitrage strategies detracted 33 basis points, and multi-strategy event funds detracted 6 basis points this month. Special situation equities and merger arbitrage strategies experienced losses in November as several larger transactions experienced hostile bidders as well as regulatory concerns.

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 approximately $8 trillion.

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