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Wilshire Liquid Alternative Index falls -2.15% In February

Monday, March 12, 2018
Opalesque Industry Update - The Wilshire Liquid Alternative IndexSM, 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 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.

"The sharp reversal in equity markets, as well as the move up in rates, led the Wilshire Liquid Alternative Global Macro IndexSM to have its worst month immediately following its best month on record in January," said Jason Schwarz, President of Wilshire Funds Management. "Unfortunately, these types of sharp reversals, after an extended trend of extremely low volatility did not position CTAs to be a protection to broader portfolios, but rather contributed to further losses."

Multi-Strategy

  • The Wilshire Liquid Alternative Multi-Strategy IndexSM, which includes both single and multi-manager funds, returned -2.16% in February.

Global Macro

  • The Wilshire Liquid Alternative Global Macro IndexSM 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.
  • Systematic strategies contributed almost the entire loss, over 350 basis points, in February, while discretionary strategies detracted another 50 basis points.
  • Currency managers were relatively flat on the month with mixed manager results.

Relative Value

  • The Wilshire Liquid Alternative Relative Value IndexSM 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.
  • Investment grade credit spreads widened from 0.91% up to 1.01%, as did high yield credits, and from 3.29% to 3.82% before ending the month at 3.47%.
  • U.S. treasury yields widened significantly for the third month in a row, from 2.72% to 2.88%.

Equity Hedge

  • The Wilshire Liquid Alternative Equity Hedge IndexSM ended the month down -3.77%, underperforming the -1.49% return of the HFRX Equity Hedge Index.
  • Long-biased managers contributed 363 basis points of return, while market neutral managers detracted 9 basis points of return.
  • Falling equity markets served as a headwind to long-biased strategies, with negative contributions from Energy, rate sensitive sectors such as Consumer Staples and Telecommunications.
  • Growth-oriented strategies continued to outperform value-oriented strategies.

Event Driven

  • The Wilshire Liquid Alternative Event Driven IndexSM ended the month up 0.06%, outperforming the -4.38% return of the HFRX Event Driven Index.
  • Credit strategies and multi-strategy event funds detracted on the month, while merger arbitrage strategies added 23 basis points of return.

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