The Wilshire Liquid Alternative Index, which provides a representative baseline for how the broad liquid alternative investment category performs, returned 1.13 per cent in August, underperforming the 1.54 per cent monthly return of the HFRX Global Hedge Fund Index. The Wilshire Liquid Alternative Index family aims to deliver precise market measures for the performance of diversified liquid alternative investment strategies implemented through mutual fund structures, backed by a proprietary classification methodology.
“Markets continued to rally in August as optimism surrounding the rapid development of a COVID-19 vaccine helped drive markets to historic highs,” says Jason Schwarz, Chief Operating Officer of Wilshire Associates.
The Wilshire Liquid Alternative Multi-Strategy Index, which includes both single and multi-manager funds, returned 1.11 per cent in August.
The Wilshire Liquid Alternative Equity Hedge Index ended the month up 2.51 per cent, underperforming the HFRX Equity Hedge Index’s return of 2.71 per cent.
The Wilshire Liquid Alternatives Event Driven Index ended the month up 0.79 per cent, underperforming the HFRX Event Driven Index’s monthly return of 1.63 per cent.
Special situation strategies with exposure to global and Asian fundamental value equities with catalyst events performed well throughout the month of August, while merger spreads remained relatively unchanged during the month, with managers posting moderately positive returns. Large and mid-cap deals primarily drove positive performance.
The Wilshire Liquid Alternative Global Macro Index ended the month up 0.37 per cent, in- line with the HFRX Macro/CTA Index’s monthly return of 0.36 per cent. Macro managers, particularly trend-following CTAs, experienced muted returns for the month as gains from continued equity growth were offset by sharp reversals in bonds and precious metals.
The Wilshire Liquid Alternative Relative Value IndexSM ended the month up 0.58 per cent, underperforming the HFRX Relative Value Arbitrage Index’s monthly return of 1.08 per cent.
Relative value convertible arbitrage managers continued to outperform, with gains coming from new issues as well as corporate activity involving buybacks, and REITs with tech sector convertibles.
August was also a positive month for relative value structured credit managers as spreads continued to tighten and drive performance. Home sale data provided a positive boost to structured credit markets as well.
