Wilshire Liquid Alternative Index Down -2.15% In February

Mar 12 2018 | 1:54pm ET

Liquid alternatives slipped as a result of extreme market volatility in February, 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 -2.15% in February, outperforming the -2.42% monthly return of the HFRX Global Hedge Fund Index. 

“The sharp reversal in equity markets, as well as the move up in rates, led the Wilshire Liquid Alternative Global Macro Index to have its worst month immediately following its best month on record in January,” said Jason Schwarz, president of Wilshire Funds Management.

Only one of Wilshire’s five liquid alternative substrategy indexes was in the green while the other four incurred substantial losses for February. Details:


  • Multi-Strategy: The Wilshire Liquid Alternative Multi-Strategy Index, which includes both single and multi-manager funds, returned -2.16% in February.
  • Global Macro: The Wilshire Liquid Alternative Global Macro Index ended the month down -4.04%, outperforming the -4.86% return of the HFRX Macro/CTA Index. February was the worst month for the index since its inception. An extremely sharp reversal in equity trends, as well as a move up in rates and commodities selling off, led to significant losses across the industry.
  • Relative Value: The Wilshire Liquid Alternative Relative Value Index ended the month down -0.59%, underperforming the 0.23% return of the HFRX Relative Value Arbitrage Index. Credit and multi-strategy managers contributed the majority of the loss, while convertible arbitrage strategies contributed positively to the return for the month.
  • Equity Hedge: The Wilshire Liquid Alternative Equity Hedge Index ended the month down -3.77%, underperforming the -1.49% return of the HFRX Equity Hedge Index.
  • Event Driven: The Wilshire Liquid Alternative Event Driven Index ended the month up 0.06%, outperforming the -4.38% return of the HFRX Event Driven Index.


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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