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Alternative Market Briefing

Wilshire Liquid Alternative Index gains 0.56% in February

Monday, March 18, 2019

Laxman Pai, Opalesque Asia:

The Wilshire Liquid Alternative Index returned 0.56% in February, slightly underperforming the 0.63% monthly return of the HFRX Global Hedge Fund Index.

"February marked a continuation of the renewed risk appetite seen in January, propelling equity and credit assets higher, while the volatility index continued to decline," said Jason Schwarz, President of Wilshire Funds Management and Wilshire Analytics.

The Wilshire Liquid Alternative Multi-Strategy Index, which includes both single and multi-manager funds, returned 0.83% in February.

The Wilshire Liquid Alternative Global Macro Index ended the month up 0.19%, underperforming the 0.76% return of the HFRX Macro/CTA Index.

CTAs were short equities going into the month due to the fourth quarter's negative trend and were negatively impacted when markets quickly reversed to the upside.

Discretionary macro managers delivered mixed returns, largely depending on the degree of long equity beta in portfolios.

The Wilshire Liquid Alternative Relative Value Index ended the month up 0.42%, outperforming the 0.30% return of the HFRX Relative Value Arbitrage Index.

Credit-based strategy returns positive

Credit-based strategy returns were generally positive on the month due to strong performances by U.S. and European high yield.

Structured credit managers were also positive in February as credit and equity hedges muted their returns.

The Wilshire Liquid Alterna......................

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