The Wilshire Liquid Alternative Index, which provides a representative baseline for how the broad liquid alternative investment category performs, returned 0.17 per cent in August, underperforming the 0.45 per cent monthly return of the HFRX Global Hedge Fund Index.
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.
“Markets posted mixed performance in August as investors favoured US markets, while emerging markets experienced another challenging month,” says Jason Schwarz (pictured), President of Wilshire Funds Management and Wilshire Analytics. “Additionally, growth stocks resumed their outperformance over value stocks.”
The Wilshire Liquid Alternative Multi-Strategy Index, which includes both single and multi-manager funds, returned 0.26 per cent in August.
The Wilshire Liquid Alternative Global Macro Index ended the month up 0.62 per cent, underperforming the 2.41 per cent return of the HFRX Macro/CTA Index. Both managed futures and discretionary macro strategies performed well due to long equity exposure. However, returns were tempered due to losses from the popular long USD trade.
The Wilshire Liquid Alternative Relative Value Index ended the month down -0.31 per cent, underperforming the 0.31 per cent return of the HFRX Relative Value Arbitrage Index.
While credit managers experienced mixed results in August, performance was generally positive for strategies. US corporate bonds, both investment grade and high yield, were positive in August, supported by strong technicals and a rally in treasuries. Retail high yield credits were the exception, which helped managers with shorts positions on retail malls.
The Wilshire Liquid Alternative Equity Hedge Index ended the month up 0.60 per cent, outperforming the -0.23 per cent return of the HFRX Equity Hedge Index.
Long-biased managers contributed positively to performance, driven by gains in domestic equity positions, while certain factor-based strategies underperformed in August, while domestic strategies outperformed global strategies as US markets rallied and European and emerging market equities declined. Value-oriented strategies meanwhile, underperformed growth strategies as information technology and consumer discretionary stocks outperformed, while energy and financials lagged the broader index.
The Wilshire Liquid Alternative Event Driven Index ended the month up 0.35 per cent, outperforming the -0.03 per cent return of the HFRX Event Driven Index.
Merger arbitrage strategies contributed positively in correlation with rising equity markets, while managers long credit risk gained in light of rising leveraged credit markets such as low-rated high yield bonds and leveraged loans.