The Wilshire Liquid Alternative Index, which provides a representative baseline for how the broad liquid alternative investment category performs, returned 0.32 per cent in November, outperforming the 0.07 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 IndexSM.
“Long-biased strategies outperformed in November, benefitting from strong equity markets, with notable performance from the Telecommunications Services, Consumer Staples, Consumer Discretionary, and Financials sectors. Value-oriented strategies outperformed growth oriented strategies, and domestic equity strategies outperformed managers focused on emerging and European markets,” says Jason Schwarz (pictured), President of Wilshire Funds Management and Wilshire Analytics.
The Wilshire Liquid Alternative Multi-Strategy Index, which includes both single and multi-manager funds, returned 0.44 per cent in November, while the Wilshire Liquid Alternative Global Macro Index ended the month up 0.38 per cent outperforming the -0.15 per cent 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. US 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.
The Wilshire Liquid Alternative Relative Value Index ended the month down 0.06 per cent, outperforming the -0.25 per cent return of the HFRX Relative Value Arbitrage Index.
Credit and multi-strategy managers contributed seven basis points and six basis points, respectively, while convertible arbitrage strategies also contributed positively for the month. Volatility strategies detracted significantly this month as volatility continued to be subdued.
Investment grade and high yield credit spreads remained relatively flat, while US Treasury yields widened slightly from 2.38 per cent to 2.41 per cent.
The Wilshire Liquid Alternative Equity Hedge Index ended the month up 0.97 per cent, outperforming the 0.87 per cent return of the HFRX Equity Hedge Index. Long-biased managers contributed 92 basis points of return, while rising equity markets benefited long-biased strategies, 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, and value-oriented strategies outperformed growth-focused equity strategies.
The Wilshire Liquid Alternative Event Driven Index ended the month down 0.48 per cent, underperforming the -0.35 per cent 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 six 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.
